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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 2022
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:	not taught
Language:	English, Czech
Teaching methods:	full-time
Teaching methods:	full-time
Is provided by:	NMFP465

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 :	NMFP465
Interchangeability :	NMFP465
Is incompatible with:	NMFP465
Is interchangeable with:	NMFP465, NFAP053

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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.

Course completion requirements -

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

Homework, midterm test, final test.

Literature - Czech

Last update: prof. RNDr. Jiří Witzany, Ph.D. (11.12.2020)

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

Teaching methods -

Last update: T_KPMS (14.05.2013)

Lecture.

Requirements to the exam -

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

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.

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.).

Entry requirements -

Last update: RNDr. Jitka Zichová, Dr. (14.05.2019)

Theory of probability (Bachelor’s degree level), foundations of financial mathematics (interest rates, discounting, yield curve, exchange rates) and financial markets (basic instruments).