Mathematical Methods in Finance (MMFIN)

Área

AC Matemática > UC Mestrados

Activa nos planos curriculares

Mathematical Finance > Mathematical Finance > 2º Ciclo > Unidades Curriculares Obrigatórias > Mathematical Methods in Finance

Nível

2º Ciclo (M)

Tipo

Estruturante

Regime

Semestral

Carga Horária

Aula Teórica (T): 0.0 h/semana

Aula TeoricoPrática (TP): 4.5 h/semana

Trabalho Autónomo: 101.5 h/semestre

Créditos ECTS: 6.0

Objectivos

- To review some basic material concerning the mathematical models of finance in order to create common skills and techniques in mathematical finance to the students coming from different backgrounds (exact sciences and social sciences)
- To impart to the students a conceptual understanding of the basic ideas in mathematical finance.
- To apply mathematical models to option pricing

Programa

- Overview of differential and integral calculus
- Optimization in Rn
- Basic concepts of option theory
- European and American options. The Black-Scholes model
- Partial differential equations
- The Black-Scholes equation. Explicit solution
- American options as free boundary problems and variational inequalities
- The random nature of the stock market. Itô formula.
- Lattice methods for valuing financial derivatives
- Introduction to Monte Carlo method

Metodologia de avaliação

Exam.

Bibliografia

Principal