Google

Aviso: Se está a ler esta mensagem, provavelmente, o browser que utiliza não é compatível com os "standards" recomendados pela W3C. Sugerimos vivamente que actualize o seu browser para ter uma melhor experiência de utilização deste "website". Mais informações em webstandards.org.

Warning: If you are reading this message, probably, your browser is not compliant with the standards recommended by the W3C. We suggest that you upgrade your browser to enjoy a better user experience of this website. More informations on webstandards.org.

CA  >  Actuarial Science  >  Currículo  >  Models in Finance

Master in Actuarial Science

Plano Curricular Actuarial Science


Models in Finance (MODFIN)

UC Competência

Models in Finance(Matemática)

UC Execução

Models in Finance (2020/2021 - Semestre 1)
Modelos em Finanças (2019/2020 - Semestre 1)
Modelos em Finanças (2018/2019 - Semestre 1)
Modelos em Finanças (2017/2018 - Semestre 1)
Modelos em Finanças (2016/2017 - Semestre 1)
Modelos em Finanças (2015/2016 - Semestre 1)
Modelos em Finanças (2014/2015 - Semestre 1)
Modelos em Finanças (2013/2014 - Semestre 1)
Modelos em Finanças (2012/2013 - Semestre 1)

Contextos

Grupo: Actuarial Science > 2º Ciclo > Unidades Curriculares Obrigatórias

Período: 2 Ano, 1 Semestre

Peso

8.0 (para cálculo da média)

Objectivos

The aim of this course is to develop the necessary skills in order to understand and apply the mathematical methods, of analytical, stochastic and numerical type, that play an important role in financial stochastic models either in discrete or continuous time. In particular, we are interested in models for the valuation of derivative securities. These skills are also important in order to communicate with other financial professionals and to critically evaluate modern financial theories.

Programa

- Brownian motion
- The Itô integral and Itô?s Formula
- Stochastic Differential Equations
- Stochastic interest rates models and models of security prices
- Introduction to the valuation of derivative securities
- The Binomial model
- The Black-Scholes model
- Models for the term structure of interest rates
- Credit risk models

Metodologia de avaliação

The final grade is awarded on the basis of a written exam (75%) and of a computer based exam - numerical methods (25%). In the computer based exam, the students should use the software Excel or R.

Bibliografia

Principal

Arbitrage Theory in Continuous Time

Björk, Tomas

2004

second edition, Oxford University Press.

Options, futures and other derivatives

Hull, J.

2008

7th ed., Prentice Hall.

Stochastic Differential Equations: An Introduction with Applications

Oksendal, B.

2003

6th edition, Springer

Elementary Stochastic Calculus with Finance in view

Mikosch, T.

1998

World Scientific

Stochastic Calculus for Models in Finance

Guerra, J.

2013

Lecture Notes, ISEG

Subject CT8 Financial Economics Core Technical Core Reading for the 2017 exams

Institute and Faculty of Actuaries

2016

Institute and Faculty of Actuaries

Secundária

Não existem referências bibliográficas secundárias.