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Gestão e Administração Bancária (Pós-Laboral)

Risk Analysis

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Publication in the Diário da República: Bolonha 2008/09 [DR. 20757/2008 07.08.2008]

5 ECTS; 3º Ano, 2º Semestre, 30,0 T + 30,0 P , Cód. 992533.

Lecturer

(1) Docente Responsável
(2) Docente que lecciona

Prerequisites
Not applicable.

Objectives
The students should familiarise themselves with the essential tools for pricing and analysis and management of the risk resulting from market positioning as well as a set of rules to deal with uncertainty and risk.

Program
I - Financial Markets, II - Binomial trees, III - Tree models for stocks and options, IV - Black-Sholes model, V - The Greek Letters, VI - Credit Risk

Evaluation Methodology
Final Exam.

Bibliography
- Capinski, M. (2003). An Introduction to Financial Engineering. Springer: Springer
- Neftci, S. (2008). Principles of Financial Engineering. Academic Press: Academic Press
- Stampfli, J. e Goodman, V. (2009). The Matehmatics of Finance. AMS: American Mathematical Society

Teaching Method
Theoretical and laboratory classes.

Software used in class
MS-Excel

 

 

 


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