JEM171 - Financial Derivatives

Credit: 6
Status: CFS - elective
EEI and EP - elective
English
ET - elective
F,FM and B - elective
Masters - all
MEF - elective
NOT AVAILABLE
Semester - summer
Course supervisors: Mykola Babiak MA
Course homepage: JEM171
Literature: 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
Description: 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.

Partners

Deloitte
McKinsey & Company
Moneta Money Bank

Sponsors

CRIF
ČSOB