Sumários

Pricing in complete markets

16 Novembro 2023, 13:00 Szabolcs Sebestyén


Quiz 4

Practice

Pricing in complete markets

14 Novembro 2023, 13:00 Szabolcs Sebestyén


Problem set 4, exercise 3

Pricing in complete markets

9 Novembro 2023, 13:00 Szabolcs Sebestyén


Risk-neutral valuation
  • Set-up and intuition
  • Some important results
  • Uniqueness
  • The relation between risk-neutral and objective probabilities
Problem set 4, exercises 1 and 2

Pricing in complete markets

7 Novembro 2023, 13:00 Szabolcs Sebestyén


Quiz 3

Market completeness and complex securities
Using options to complete the market

CAPM and APT

2 Novembro 2023, 13:00 Szabolcs Sebestyén


CAPM
APT