Options and Interest Rate Models


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.


  1. Pricing of Derivative Products
  2. Complete Markets and Hedging
  3. Dividends, Foreign Exchange Rates and Exotic Options
  4. Bonds and Interest Rates
  5. Short Rate Models


  • 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.