Quantitative Finance

Basic information


45 hours


Stochastic Calculus


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.



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


·       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.