Financial Derivatives - JEM171

• Title: Financial Derivatives
• Czech title: Financial Derivatives
• Guaranteed by: Institute of Economic Studies (23-IES)
• Faculty: Faculty of Social Sciences
• Actual: from 2017
• Semester: summer
• E-Credits: 6
• Examination process: summer s.:written
• Hours per week, examination: summer s.:2/2, Ex [HT]
• Capacity: unknown / unknown (unknown)
• Min. number of students: unlimited
• 4EU+: no
• Virtual mobility / capacity: no
• State of the course: not taught
• Language: English
• Teaching methods: full-time
• Teaching methods: full-time
• Guarantor: Mykola Babiak, M.A., Ph.D.

Annotation

Last update: SCHNELLEROVA (19.02.2015)

The course covers a topic of derivative pricing, equity derivatives (European call and put options, exotic options), futures and forward contracts. The questions to be addressed in the class are:
how do these contracts work and what are their payoffs? How are these derivatives used for hedging purposes and as a part of trading strategies? And, finally, how are they priced? The course highlights important ideas and concepts: absence of arbitrage, replication, and risk-neutral pricing. These will be introduced in the discrete-time models, continuous-time stochastic processes and stochastic calculus will be covered as we go.

Literature

Last update: SCHNELLEROVA (19.02.2015)

1. Introduction to derivatives markets

a. Hull J.: Options, Futures, and Other Derivative Securities, Prentice-Hall International,

2. Binomial asset pricing model

a. Hull J.: Options, Futures, and Other Derivative Securities, Prentice-Hall International,

b. Cerny A.: Mathematical Techniques in Finance, 2009

c. Shreve S. : Stochastic Calculus for Finance I

3. Overview of stochastic calculus

a. Hull J.: Options, Futures, and Other Derivative Securities, Prentice-Hall International,

b. Cerny A.: Mathematical Techniques in Finance, 2009.

4. The Black-Scholes-Merton model and pricing derivatives continuous time finance

a. Hull J.: Options, Futures, and Other Derivative Securities, Prentice-Hall International,

b. Cerny A.: Mathematical Techniques in Finance, 2009

c. Shreve S. : Stochastic Calculus for Finance II

1993. (Ch. 1-10)

1993. (Ch. 11)

1993. (Ch. 12)

1993. (Ch. 13)

Requirements to the exam

Last update: SCHNELLEROVA (19.02.2015)

Homeworks (20%), Midterm Exam (40%), Final Exam (40%)