ISCTE-IUL > Education > MMF

Stochastic Calculus in Finance II (2 º Sem 2019/2020)

Code:	M7603
Acronym:	M7603
Level:	2nd Cycle
Basic:	No
Teaching Language(s):	Portuguese
Friendly languages:

Be English-friendly or any other language-friendly means that UC is taught in a language but can either of the following conditions:
1. There are support materials in English / other language;
2. There are exercises, tests and exams in English / other language;
3. There is a possibility to present written or oral work in English / other language.

Semester	ECTS Credits	Theoretical Lesson (T)	Theoretical and Pratical Lesson (TP)	Practical and laboratorial lesson (PL)	Seminary (S)	Field Work (TC)	Training Period (E)	Tutorial Orientation (OT)	Contact Hours	Autonomous Work	Others (O)	Total Load Hours [?]Contact Hours + Autonomous Work
1	7.0	20.0 h/sem	12.0 h/sem	0.0 h/sem	0.0 h/sem	0.0 h/sem	0.0 h/sem	0.0 h/sem	32.0 h/sem	164.0 h/sem	0.0 h/sem	196.0 h/sem


Since year	2019/2020
Pre-requisites	No
Objectives	Knowledge of the main mathematical models for pricing financial derivatives.
Program	1. Discrete-time models. 2. The Cox-Ross-Rubinstein model. 3. Optimal stopping and American options. 4. The Black-Scholes model.
Evaluation Method	Regular grading system: - One individual exam Students that fail or want to improve their grade in the regular grading system have one additional moment to pass: a re-sit exam, that is worth 100% of the final grade. In any of the evaluation systems (regular or re-sit exam) it is considered that a student has course approval if he has a grade equal or above 9.5 points.
Teaching Method	The student should acquire analytical, information gathering, written and oral communication skills, through the following learning methodologies (LM): 1. Expositional, to the presentation of the theoretical reference frames 2. Participative, with analysis and resolution of application exercises 3. Active, with the realization of individual works 4. Self-study, related with autonomous work by the student, as is contemplated in the Class Planning.
Observations
Basic Bibliographic	- Isabel Simão, Cálculo Estocástico em Finanças II, Texto de apoio às aulas, 2006.
Complementar Bibliographic	-D. Lamberton and B. Lapeyre, Stochastic Calculus Applied to Finance, Chapman and Hall/CRC, 1996. -T. Björk, Arbitrage Theory in Continuous Time, Oxford University Press, 1998. - A. Etheridge, A Course in Financial Calculus, Cambridge University Press, 2002. - M. Musiela e M. Rutkowski, Martingale Methods in Financial Modelling, Springer-Verlag, 1998.