Sumários
Class #10
10 Março 2022, 16:00 • Rita Sousa
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
9 Março 2022, 16:00 • Rita Sousa
Brief presentation of the possible topics on American options for the group work:
2.3. Integral representation method
2.4. OSA approach
2.5. SHP approach
2.6. Binomial and trinomial methods
2.7. Finite difference methods
2.8. Monte Carlo simulation
2.9. Numerical integration and transform techniques
Class #8
24 Fevereiro 2022, 16:00 • Rita Sousa
2. Numerical methods in option pricing
2.1. American-style options
2.2. Analytical approximations
Class #7
23 Fevereiro 2022, 16:00 • Rita Sousa
1.4. Stochastic volatility models: Heston model and SABR model
1.5. Models with jumps
1.6. Hybrid credit-equity models