Sumários
Class #10
7 Março 2024, 16:00 • José Carlos Dias
3. Exotic options and structured products
3.1. Basic concepts: packages, decomposition and static hedging
3.2. Equity-linked structured and leverage products
3.3. Binary options
Class #9
6 Março 2024, 16:00 • José Carlos Dias
Brief presentation of the possible topics for group work:
2.3. Integral representation method
2.4. OSA approach
2.5. SHP approach
2.6. Binomial, trinomial and finite difference methods
2.7. Monte Carlo simulation
2.8. Numerical integration and transform techniques
2.9. Machine learning algorithms
Class #8
29 Fevereiro 2024, 16:00 • José Carlos Dias
2. Numerical methods in option pricing
2.1. American-style options
2.2. Analytical approximations
Class #7
28 Fevereiro 2024, 16:00 • José Carlos Dias
1.4. Stochastic volatility models: Heston model and SABR model
1.5. Models with jumps
1.6. Hybrid credit-equity models