JEM171 - Financial Derivatives

Kredit: 6
Role předmětu: Anglicky
CFS - elective
EEI a HP - povinně volitelný
ET - povinně volitelný
F,FT a B - povinně volitelný
Magisterský - vše
MEF - elective
Semestr - letní
Garanti: Mykola Babiak MA
Stránky kurzu: JEM171
Literatura: Hull J.: Options, Futures, and Other Derivative Securities, Prentice-Hall International, 1993
Cerny A.: Mathematical Techniques in Finance, 2009
Shreve S.: Stochastic Calculus for Finance I
Shreve S.: Stochastic Calculus for Finance II
Popis: 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.

Partneři

ČSOB
Deloitte
McKinsey & Company

Sponzoři

CRIF