Objectives
The objective of this course is to introduce and analyze a diversified set of financial products, completing the development necessary for a total qualification of students with the necessary tools for their study. The mathematical models underlying the problems of pricing and hedging will be revisited and contextualized.
Program
- Pricing of Derivative Products
- Complete Markets and Hedging
- Dividends, Foreign Exchange Rates and Exotic Options
- Bonds and Interest Rates
- Short Rate Models
Bibliography
- Bjork, T., Arbitrage, Theory in Continuous Time. Oxford University Press, 2009.
- Duffie, D., Dynamic Asset Pricing Theory. Princeton University Press, 2001.
- Lamberton, D. and Lapeyre, B., Introduction to Stochastic Calculus Applied to Finance. Second Edition, Chapman & Hall CRC, 2008.
- Shreve, S.E., Stochastic CalcuIus for Finance I & II. Springer, 2004.
- Ross, S.M., An Elementary Introduction to Mathematical Finance. Cambridge University Press, 2011.