MF003 Derivatives pricing

Faculty of Science
Autumn 2025
Extent and Intensity
2/2/0. 4 credit(s) (příf plus uk k 1 zk 2 plus 1 > 4). Type of Completion: zk (examination).
In-person direct teaching
Teacher(s)
doc. RNDr. Martin Kolář, Ph.D. (lecturer)
Guaranteed by
doc. RNDr. Martin Kolář, Ph.D.
Department of Mathematics and Statistics – Departments – Faculty of Science
Supplier department: Department of Mathematics and Statistics – Departments – Faculty of Science
Timetable
Mon 16:00–17:50 M3,01023
  • Timetable of Seminar Groups:
MF003/01: Mon 18:00–19:50 MP2,01014a, Mon 18:00–19:50 M3,01023, M. Kolář
Prerequisites
MF001 Stochastical processes in financial mathematics && MF002 Stochastical analysis
Knowledge of stochastic processes (random walk and Wiener process) and stochastic analysis
Course Enrolment Limitations
The course is also offered to the students of the fields other than those the course is directly associated with.
fields of study / plans the course is directly associated with
Abstract
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.
Learning outcomes
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.
Key topics
  • Arbitrage
  • European and American options
  • Discrete models
  • Binomial model
  • Black-Scholes model
  • Equivalent martingale measure
  • Path dependent options
  • Greeks
  • Interest rate models
Study resources and literature
  • HULL, John. Options, futures, and other derivatives. Global edition. Harlow, England: Pearson, 2022, 880 stran. ISBN 9781292410654. info
  • ŠEVČOVIČ, Daniel; Beáta STEHLÍKOVÁ and Karol MIKULA. Analytické a numerické metódy oceňovania finančnách derivátov. Bratislava: Nakladateľstvo STU, 2009, 200 pp. info
Approaches, practices, and methods used in teaching
lectures, class excercises and homework
Method of verifying learning outcomes and course completion requirements
Oral examination.
Language of instruction
Czech
Further Comments
Study Materials
The course is taught annually.
Teacher's information
Výuka bude probíhat prezenčně (přednášky i cvičení). V závislosti na epidemiologické situaci může dojít během semestru ke změně.
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 2012, 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 (recent)
  • Permalink: https://is.muni.cz/course/sci/autumn2025/MF003