Lisbon Financial Mathematics 2018

Workshop

19-20 Feb 2018, ISEG - Lisboa

Description


The lectures are focused on analytical and numerical methods for pricing financial derivatives like options on underlying stocks. Starting from the classical Black-Scholes equation for pricing vanilla options we focus on path dependent options including pricing of American style options, Asian and barrier style of options. The methodology how to price such financial instruments is based on solving partial differential equations. In some cases the underlying equation can be solved analytically. In the case of American style and path dependent options the solution is provided by means of numerical approximation scheme.


Speakers:

Daniel Sevcovic (mini course), Cláudia Nunes (lecture)

Organizers:

Maria do Rosário Grossinho (Universidade de Lisboa), João M E Guerra (Universidade de Lisboa), Manuel Guerra (Instituto Superior de Economia e Gestão) and João Janela (Instituto Superior de Economia e Gestão)

Venue

Amphitheatre 4, Building Quelhas-6, floor 4

Accommodation

For more information please contact us.

Contacts

CEMAPRE - Centre for Applied Mathematics and Economics

Rua do Quelhas, n.º 6
1200-781 Lisboa
Portugal

Email: cemapre@iseg.ulisboa.pt
Tel: (+351) 213 925 876