Sumários
Class #8
16 Março 2023, 20:30 • Rita Sousa
5. Greeks
5.1. Delta hedging
5.2. Gamma hedging
5.3. Vega hedging
5.4. Dynamic portfolio insurance
6. Volatility and correlation
6.1. Volatility smile
6.2. Estimation of volatility and correlation
6.3. Alternatives to the BSM model
Class #6
9 Março 2023, 20:30 • Rita Sousa
4. Black-Scholes-Merton model
4.1. Brownian motion, Itô's lemma, GBM, fundamental PDE
4.2. Black-Scholes-Merton formula
4.3. Discrete dividends and dividend yield
4.4. Options on indices, currencies and futures