Models in Finance (1 º Sem 2020/2021)

CA (Actuarial Science)



  • Björk, Tomas , Arbitrage Theory in Continuous Time , second edition, Oxford University Press. , 2004
  • Hull, J. , Options, futures and other derivatives , 7th ed., Prentice Hall., 2008
  • Oksendal, B., Stochastic Differential Equations: An Introduction with Applications , 6th edition, Springer, 2003
  • Mikosch, T., Elementary Stochastic Calculus with Finance in view , World Scientific, 1998
  • Guerra, J., Stochastic Calculus for Models in Finance , Lecture Notes, ISEG, 2013
  • Institute and Faculty of Actuaries, Subject CT8 Financial Economics Core Technical Core Reading for the 2017 exams , Institute and Faculty of Actuaries, 2016
  • Institute and Faculty of Actuaries, Institute and Faculty of Actuaries Core Reading for the 2020 exams - CM2 Financial Engineering and Loss Reserving, Institute and Faculty of Actuaries, 2020


  • Iacus, Stefano M., Option Pricing and Estimationof Financial Models with R, John Wiley & Sons, Ltd, 2011
  • Venables, W.N., Smith, D.M. and the R Core Team, An Introduction to R Notes on R: A Programming Environment for Data Analysis and Graphics, Version 3.6.1 (2019-07-05), 2019