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Financial Derivatives I - NFAP053

Title:	Finanční deriváty I
Guaranteed by:	Department of Probability and Mathematical Statistics (32-KPMS)
Faculty:	Faculty of Mathematics and Physics
Actual:	from 2018
Semester:	winter
E-Credits:	3
Hours per week, examination:	winter s.:2/0, Ex [HT]
Capacity:	unlimited
Min. number of students:	unlimited
4EU+:	no
Virtual mobility / capacity:	no
State of the course:	cancelled
Language:	Czech
Teaching methods:	full-time

Guarantor:	prof. RNDr. Jiří Witzany, Ph.D.
Classification:	Mathematics > Financial and Insurance Math.
Interchangeability :	NMFM531
Is co-requisite for:	NFAP054

Opinion survey results Examination dates Schedule Noticeboard

Annotation -

Practical introduction to financial derivatives with minimal assumptions in the area of mathematical calculus, statistics, and probability theory. Principles, mechanics, and practical aspects of trading with financial derivatives. Forwards, futures, options, and swaps. Elementary principles of derivatives valuation. Binomial trees and their application to valuation of options. Credit, weather, and other exotic derivatives.

Last update: T_KPMS (22.05.2008)

Aim of the course -

The goal of the course is to provide an introduction to practical and theoretical aspects of financial derivatives with minimal assumptions in the area of mathematical calculus, statistics, and probability theory.

Last update: T_KPMS (22.05.2008)

Literature - Czech

Základní:

Hull, John C.: Options, Futures, and Other Derivatives. 2006.

Doplňková:

Dvořák, Petr.: Deriváty. 2006.

Witzany, Jiří: International Financial Markets. 2007.

Jílek, Josef: Finanční a komoditní deriváty v praxi. 2005.

Hunt, P.J., Kenedy, J.E.: Financial derivatives in theory and practice. 2000.

Last update: T_KPMS (22.05.2008)

Teaching methods -

Lecture.

Last update: G_M (28.05.2008)

Syllabus -

Principles, mechanics, and practical aspects of trading with financial derivatives. Forwards, futures, options, and swaps. Elementary principles of derivatives valuation. Binomial trees and their application to valuation of options. Itô's lemma and the Black-Scholes formula. Risk management for derivatives trading (Delta, Gamma, Value at Risk etc.).

Last update: T_KPMS (22.05.2008)