Sumários
Pricing in complete markets
18 Novembro 2025, 13:00 • Szabolcs Sebestyén
Market Completeness and Complex Securities
Using Options to Complete the Market
Risk-Neutral Valuation
- Set-Up and Intuition
- Some Important Results
- Uniqueness
- The Relation Between Risk-Neutral and Objective Probabilities
The APT
13 Novembro 2025, 13:00 • Szabolcs Sebestyén
Factor Models
The Market Model
Pricing with Factors
Identifying the Factors
Applications
The CAPM
11 Novembro 2025, 13:00 • Szabolcs Sebestyén
Quiz 3
Introduction
The Traditional Approach to the CAPM
The Standard CAPM
The CAPM and Empirical Evidence