Delta en el comercio de opciones19 comments
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Financial Mathematics Semester 1, Lecturer: Masha Vlasenko The ultimate goal of this course is to introduce students to the Black-Scholes Model for options pricing. The module opens by looking at various types of options and discussing their properties. The technique of constructing binomial trees to price options based on the Cox, Ross and Rubenstein paper of is then discussed in detail.
We then study the model of stock price behaviour introduced by Black, Scholes and Merton in , and derive the Black-Scholes model for valuing European call and put options on a non-dividend-paying stock. A brief introduction to probability theory is included in the course. Our main textbook is John C.
Hull, "Options, Futures and Other Derivatives". See the last pages of lecture notes for the information on this year's exam questions. Continuous assessment marks are here. Financial Derivatives [pdf] Lecture 2: Traders [pdf] Lecture 3: Interest Rates [pdf] Lecture 4: Properties of Stock Options [pdf] Lecture 5: Put-Call Parity [pdf] Lectures Conditional Probability Lecture Stochastic Independence Lecture Random Variables Lecture Binomial Distribution Lecture Normal Distribution [pdf] Lecture Delta Hedging [pdf] Lecture Stochastic Processes and Brownian Motion Lectures Stochastic Models for Stock Market [pdf] Lectures