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Financial Derivatives II - NFAP054

Title:	Finanční deriváty II
Guaranteed by:	Department of Probability and Mathematical Statistics (32-KPMS)
Faculty:	Faculty of Mathematics and Physics
Actual:	from 2018
Semester:	summer
E-Credits:	3
Hours per week, examination:	summer 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
Teaching methods:	full-time

Guarantor:	prof. RNDr. Jiří Witzany, Ph.D.
Classification:	Mathematics > Financial and Insurance Math.
Co-requisite :	NFAP053
Interchangeability :	NMFM532

Opinion survey results Examination dates Schedule Noticeboard

Annotation -

Last update: G_M (05.06.2007)

Stochastic modeling of stock prices, exchange rates, and interest rates. Introduction to standard and non-standard methods. Risk-neutral pricing. Itô's lemma and the Black-Scholes formula. Risk management for derivatives trading (Delta, Gamma etc., Value at Risk). Numerical estimations of volatilities and correlations. Monte Carlo simulations - pricing of exotic options.

Aim of the course -

Last update: T_KPMS (22.05.2008)

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.

Literature - Czech

Last update: T_KPMS (22.05.2008)

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.

Teaching methods -

Last update: G_M (28.05.2008)

Lecture.

Syllabus -

Last update: T_KPMS (22.05.2008)

Introduction to standard and non-standard methods for stochastic modeling of financial processes. Risk-neutral pricing. Change of numeraire and the equivalent martingale measure. Applications on valuation of selected exotic derivatives. Interest rate modeling and valuation of interest rate derivatives. Calibration of models - numerical estimations of volatilities and correlations. Credit risk modeling and credit derivatives.