Sumários
Pricing in complete markets
14 Novembro 2024, 13:00 • Szabolcs Sebestyén
Risk-neutral valuation
- Set-up and intuition
- Some important results
- Uniqueness
- The relation between risk-neutral and objective probabilities
Pricing in complete markets
12 Novembro 2024, 13:00 • Szabolcs Sebestyén
Market completeness and complex securities
Using options to complete the market
The APT
7 Novembro 2024, 13:00 • Szabolcs Sebestyén
Quiz 3
Factor models
The market model
Pricing with factors
Identifying the factors
Applications