Quantitative Finance

Basic information

Workload: 

45 hours

Prerequisite: 

Stochastic Calculus

Syllabus: 

Continuous time models. Risk-neutral measure. Fundamental Asset Pricing Theorems. Derivatives pricing. Assets that pay dividends. Futures and Forwards. Partial Differential Equations in Finance. Exotic Options: barrier options, lookback options, Asian options. Introduction to Functional Calculation of Itô. Options with optimal exercise time. Downtime and calculation of American options. Cash change. Introduction to models with jumps.

Bibliography

Mandatory: 

·       Shreve. Stochastic Calculus for Finance Vol 2. Springer.
·       Steele. Stochastic Calculus and Financial Applications . Springer. 
·       Oksendal. Stochastic Differential Equations: An Introduction with Applications. Springer.

Complementary: 

·       Björk. Arbitrage Theory in Continuous Time. Oxford Finance.
·       McNeil, A., Frey, R. e Embrechets, P. (2015). Quantitative Risk Management: Concepts, Techniques and Tools. Princeton. Edição Revisada. 
·       Hull, J. (2014). Options, Futures and Other Derivatives. Pearson. 9° Edição.
·       Glasserman, P. (2003). Monte Carlo Methods in Financial Engineering. Springer.
·       Shreve. Stochastic Calculus for Finance Vol 1. Springer.