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Financial Derivatives 1 - NMFM531

Title:	Finanční deriváty 1
Guaranteed by:	Department of Probability and Mathematical Statistics (32-KPMS)
Faculty:	Faculty of Mathematics and Physics
Actual:	from 2016 to 2017
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:	taught
Language:	English, Czech
Teaching methods:	full-time
Teaching methods:	full-time

Guarantor:	prof. RNDr. Jiří Witzany, Ph.D. RNDr. Jakub Černý, Ph.D.
Class:	M Mgr. FPM M Mgr. FPM > Povinně volitelné M Mgr. PMSE M Mgr. PMSE > Povinně volitelné
Classification:	Mathematics > Financial and Insurance Math.
Incompatibility :	NFAP053
Interchangeability :	NFAP053
Is pre-requisite for:	NMFM532
Is interchangeable with:	NFAP053

Opinion survey results Examination dates Schedule Noticeboard

Annotation -

Last update: T_KPMS (14.05.2013)

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.

Aim of the course -

Last update: T_KPMS (14.05.2013)

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: prof. RNDr. Jiří Witzany, Ph.D. (30.10.2019)

Základní:

Witzany, J.: Financial Derivatives - Valuation , Hedging and Risk Management, 2013, Oeconomica

Doplňková:

Witzany, J.: Financial Derivatives and Market Risk Management Part I, 2011, Oeconomica

Hull, John C.: Options, Futures, and Other Derivatives, 2012, 8th edition, Pearson

Paul Wilmott: Paul Wilmott on Quantitative Finance, 2006, Wiley

Steven E. Shreve: Stochastic Calculus for Finance I,II, 2004-5,Springer

Dvořák, Petr.: Deriváty, 2006, Oeconomica

Witzany, Jiří: International Financial Markets, 2007, Oeconomica

Cipra, Tomáš: Matematika cenných papírů, 2013, Professional Publishing

Teaching methods -

Last update: T_KPMS (14.05.2013)

Lecture.

Syllabus -

Last update: T_KPMS (14.05.2013)

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.).