| Credit: | 6 |
|---|---|
| Status: | CSF - 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. |
