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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)


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

Período: 2 Ano, 1 Semestre


8.0 (para cálculo da média)


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.


- 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.



Arbitrage Theory in Continuous Time

Björk, Tomas


second edition, Oxford University Press.

Options, futures and other derivatives

Hull, J.


7th ed., Prentice Hall.

Stochastic Differential Equations: An Introduction with Applications

Oksendal, B.


6th edition, Springer

Elementary Stochastic Calculus with Finance in view

Mikosch, T.


World Scientific

Stochastic Calculus for Models in Finance

Guerra, J.


Lecture Notes, ISEG

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

Institute and Faculty of Actuaries


Institute and Faculty of Actuaries


Não existem referências bibliográficas secundárias.