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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 (14.05.2013)
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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 (14.05.2013)
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Homework, midterm test, final test. Last update: Witzany Jiří, prof. RNDr., Ph.D. (30.10.2019)
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Základní/Required: Witzany, J.: Derivatives – Theory and Practice of Trading, Valuation, and Risk Management. Springer Texts in Business and Economics, ISBN 978-3-030-51750-2, 2020 p. 376
Doplňková/Optional: Witzany, J.: Financial Derivatives - Valuation , Hedging and Risk Management, 2013, Oeconomica Hull, John C.: Options, Futures, and Other Derivatives, 2015, 9th edition, Pearson Paul Wilmott: Paul Wilmott on Quantitative Finance, 2006, Wiley Steven E. Shreve: Stochastic Calculus for Finance I,II, 2004-5,Springer Witzany, Jiří: Credit Risk Management: Pricing, Measurement, and Modeling. Springer, ISBN 978-3-319-49799-0, 2017, p. 256 Dvořák, Petr.: Deriváty, 2006, Oeconomica Witzany, Jiří: International Financial Markets, 2007, Oeconomica Cipra, Tomáš: Matematika cenných papírů, 2013, Professional Publishing
Last update: Witzany Jiří, prof. RNDr., Ph.D. (11.12.2020)
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Lecture. Last update: T_KPMS (14.05.2013)
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The final grade is based on the total score from a homework assignment, midterm and final test. The midterm test comprises from 4-5 computational problems and theoretical questions based on the topics covered in the course before the test. The final test will have 6-8 computational problems and theoretical questions. The weight of the final will be at least 50%. The midterm test can be excused and in this case the final score is calculated proportionately just based on the final test and the midterm test. The standard cutoffs for the grades 1,2,3 are 90%, 75%, and 60%, and can be modified by the lecturer. The final test can be exceptionally retaken if agreed with the lecturer.
. Last update: Witzany Jiří, prof. RNDr., Ph.D. (30.10.2019)
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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 (14.05.2013)
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Theory of probability (Bachelor’s degree level), foundations of financial mathematics (interest rates, discounting, yield curve, exchange rates) and financial markets (basic instruments). Last update: Zichová Jitka, RNDr., Dr. (14.05.2019)
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