Sumários
Class #10
12 Março 2026, 17:30 • 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
Class #9
12 Março 2026, 16:00 • José Carlos Dias
2. Numerical methods in option pricing
2.1. American-style options
2.2. Analytical approximations
Class #8
5 Março 2026, 17:30 • José Carlos Dias
1.5. Models with jumps.
1.6. Calibrating option pricing models.
1.7. Estimating risk-neutral densities.
1.8. Machine learning algorithms.
Class #7
5 Março 2026, 16:00 • José Carlos Dias
1.4. Stochastic volatility models: Heston model and SABR model.