MF003 Derivatives pricing

Faculty of Science
Autumn 2010 - only for the accreditation
Extent and Intensity
2/1. 3 credit(s) (příf plus uk k 1 zk 2 plus 1 > 4). Type of Completion: zk (examination).
Teacher(s)
doc. RNDr. Martin Kolář, Ph.D. (lecturer)
Guaranteed by
prof. RNDr. Ivanka Horová, CSc.
Department of Mathematics and Statistics – Departments – Faculty of Science
Prerequisites (in Czech)
MF001 Stochastical processes in financial mathematics && MF002 Stochastical analysis
Course Enrolment Limitations
The course is offered to students of any study field.
Course objectives
At the end of the course students should be able to: understand and explain the notions of forward, european and american option; use the information on mechanisms of exotic options to create portfolios with desired properties; create several hedging strategies for a given portfolio, make well reasoned decisions to prevent unnecessary exposition to market risks, interpret real world situation in connection with the assumptions of the used model.
Syllabus
  • Arbitrage
  • European and american options
  • Discrete models
  • Binomial model
  • Black-Scholes model
  • Equivalent martingale measure
  • Path dependent options
  • Greeks
  • Interest rate models
Literature
  • MELICHERČÍK, Igor, Ladislava OLŠAROVÁ and Vladimír ÚRADNÍČEK. Kapitoly z finančnej matematiky. [Bratislava: Miroslav Mračko, 2005, 242 s. ISBN 8080576513. info
  • HULL, John. Options, Futures, and Other Derivatives. New Jersey: Prentice Hall, 2003, 774 pp. Fifth Edition. ISBN 0-13-046592-5. info
Teaching methods
lectures, class excercises and homeworks
Assessment methods
oral exam
Language of instruction
Czech
Further Comments
The course is taught annually.
The course is taught: every week.
The course is also listed under the following terms Autumn 2007 - for the purpose of the accreditation, Autumn 2009, Autumn 2010, Autumn 2011, Autumn 2011 - acreditation, Autumn 2012, Autumn 2013, Autumn 2014, Autumn 2015, Autumn 2016, autumn 2017, Autumn 2018, Autumn 2019, Autumn 2020, autumn 2021, Autumn 2022, Autumn 2023, Autumn 2024.