Course: Financial Derivatives

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Course title Financial Derivatives
Course code KEM/FDE
Organizational form of instruction Lecture + Lesson
Level of course Master
Year of study not specified
Semester Winter and summer
Number of ECTS credits 5
Language of instruction Czech
Status of course Optional
Form of instruction Face-to-face
Work placements This is not an internship
Recommended optional programme components None
Lecturer(s)
  • Lukáš Ladislav, Doc. RNDr. Ing. CSc.
Course content
I. Risk neutral pricing. 1. Basics of theory of probability, binomial model. 2. Arbitrage approach to pricing. II. Introduction to stochastic calculus. 3. Wiener process and its properties. 4. Ito integral and Ito lemma. III. pricing of derivatives. 5. Black-Scholes model and its derivation. 6. Delta hedging, implied volatility. 7. American options and their pricing.

Learning activities and teaching methods
Individual study, Self-study of literature, Lecture
  • Contact hours - 52 hours per semester
  • Preparation for an examination (30-60) - 60 hours per semester
  • Graduate study programme term essay (40-50) - 40 hours per semester
prerequisite
professional knowledge
Pre-requisities - to pass subjects: Financial and insurance calculations 1 (KEM/FIPV1), and Probabilistic models (KEM/PMO).
learning outcomes
Student will understand modern approches and methods in finance based upon stochastic processes - risk neutral pricing, - use of Wiener process in finance, - option pricing, Black-Scholes model, american option, - get basics of sw Mathematica acquainted.
teaching methods
Lecture
Self-study of literature
Individual study
assessment methods
Combined exam
Seminar work
Recommended literature
  • MÁLEK, J. Opce a futures. Praha : VŠE, 2003.
  • SHREVE, S. Stochastic Calculus for Finance I: The Binomial Asset Pricing Model.. New York : Springer, 2005.
  • SHREVE, S. Stochastic Calculus for Finance II: Continuous-Time Models.. New York : Springer, 2004.


Study plans that include the course
Faculty Study plan (Version) Branch of study Category Recommended year of study Recommended semester
Faculty of Economics Information Systems Management (2013) Economy 2 Winter