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Option Pricing: an Introduction
This article is an introduction to option pricing theory. In the first section we deal with the discrete time binomial option pricing model for European options, giving some hints regarding its convergence to Black-Scholes as the continuous time limit. In the second section we show how to use the binomial model for pricing American options, while the last section contains the sample Octave code used for computing tables in the text.
option-pricing-introduction.pdfPortfolio Theory: an Introduction
This article is an introduction to the so-called modern portfolio theory. It assumes a basic knowledge of linear algebra and multivariable calculus. In the first section we show how to compute the variance and the expected value (mean) of portfolio returns. In the second section we deal with mean-variance constrained optimization problems.
portfolio-theory-introduction.pdf