MF003 Derivatives pricing

Faculty of Science
Autumn 2012
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
Supplier department: Department of Mathematics and Statistics – Departments – Faculty of Science
Timetable
Wed 14:00–15:50 M3,01023
  • Timetable of Seminar Groups:
MF003/01: Wed 16:00–16:50 M3,01023
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
Study Materials
The course is taught annually.
The course is also listed under the following terms Autumn 2007 - for the purpose of the accreditation, Autumn 2010 - only for the accreditation, Autumn 2009, Autumn 2010, Autumn 2011, Autumn 2011 - acreditation, Autumn 2013, Autumn 2014, Autumn 2015, Autumn 2016, autumn 2017, Autumn 2018, Autumn 2019, Autumn 2020, autumn 2021, Autumn 2022, Autumn 2023, Autumn 2024.
  • Enrolment Statistics (Autumn 2012, recent)
  • Permalink: https://is.muni.cz/course/sci/autumn2012/MF003