154-0340/01 – Valuation and Hedging of Financial Derivatives (Hedging)

Gurantor departmentDepartment of FinanceCredits3
Subject guarantorprof. Ing. Tomáš Tichý, Ph.D.Subject version guarantorprof. Ing. Tomáš Tichý, Ph.D.
Study levelundergraduate or graduateRequirementChoice-compulsory
Year5Semester
Study languageCzech
Year of introduction1999/2000Year of cancellation2009/2010
Intended for the facultiesEKFIntended for study typesFollow-up Master
Instruction secured by
LoginNameTuitorTeacher giving lectures
TIC02 prof. Ing. Tomáš Tichý, Ph.D.
Extent of instruction for forms of study
Form of studyWay of compl.Extent
Full-time Credit and Examination 2+0

Subject aims expressed by acquired skills and competences

This course aims at pricing, hedging and modeling of financial derivatives as well as primary financial securities. The aim of the course is - to improve the knowledge and skills of students - so that they will be able to apply acquired knowledge - in order to efficiently utilize financial derivatives within risk management issues of both, financial and nonfinancial institutions; - the students should be able to formulate pricing and hedging task and subsequently propose an efficient approach to solve it.

Teaching methods

Lectures

Summary

Within this course, particular problems of financial derivatives, their pricing, hedging, replication and modelling in general are treated. At first, particular sorts of derivatives, methods of pricing and most common types of underlying assets and related processes are introduced. Subsequently, these methods and types of underlying assets are applied in order to model the price of basic types of financial derivatives. Single topics are constituted by non- standard derivatives.The task is to allow the students to use obtained knowledge in solving of real problems.

Compulsory literature:

HULL, J.C. Options, futures, and Other Derivatives. 11th ed. Harlow: Pearson, 2022. HULL, J.C. Risk Management and Financial Institutions. 5th ed. New York: Wiley, 2018. TICHÝ, T. Lévy Processes in Finance: Selected applications with theoretical background. SAEI, vol. 9. Ostrava: VŠB-TU Ostrava, 2011.

Recommended literature:

NEFTCI, S. Principles of Financial Engineering. 2nd ed. Academic Press, 2008. SCHOUTENS, W. Lévy Processes in Finance: Pricing Financial Derivatives. Wiley, 2003. SHREVE, S. E. Stochastic Calculus for Finance I: The Binomial Asset Pricing Models. Springer, 2004. SHREVE, S. E. Stochastic Calculus for Finance II: Continuous-Time Models. Springer, 2004.

Way of continuous check of knowledge in the course of semester

E-learning

Other requirements

Prerequisities

Subject has no prerequisities.

Co-requisities

Subject has no co-requisities.

Subject syllabus:

Introduction to financial markets and derivatives Linear financial derivatives (forwards, futures, swaps) Nonlinear financial derivatives (plain vanilla options, exotic options) Discrete valuation methods (binomial and trinomial trees) Stochastic processes Continuous valuation models (BS model) Monte Carlo simulation Interest rate derivatives Wheather derivatives, energy derivatives, credit risk derivatives Application of financial derivatives: hedging of nonfinancial institutions Application of financial derivatives: hedging and replication in financial institutions

Conditions for subject completion

Full-time form (validity from: 1960/1961 Summer semester)
Task nameType of taskMax. number of points
(act. for subtasks)
Min. number of pointsMax. počet pokusů
Exercises evaluation and Examination Credit and Examination 100 (100) 51 3
        Examination Examination 100  0 3
        Exercises evaluation Credit   3
Mandatory attendence participation:

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Conditions for subject completion and attendance at the exercises within ISP:

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Occurrence in study plans

Academic yearProgrammeBranch/spec.Spec.ZaměřeníFormStudy language Tut. centreYearWSType of duty
2008/2009 (N6202) Economic Policy and Administration (6202T010) Finance (00) Finance P Czech Ostrava 2 Choice-compulsory study plan
2008/2009 (M6202) Economic Policy and Administration (6202T010) Finance P Czech Ostrava 5 Choice-compulsory study plan
2007/2008 (N6202) Economic Policy and Administration (6202T010) Finance (00) Finance P Czech Ostrava 2 Choice-compulsory study plan
2007/2008 (M6202) Economic Policy and Administration (6202T010) Finance P Czech Ostrava 5 Choice-compulsory study plan
2006/2007 (N6202) Economic Policy and Administration (6202T010) Finance (00) Finance P Czech Ostrava 2 Choice-compulsory study plan
2006/2007 (M6202) Economic Policy and Administration (6202T010) Finance P Czech Ostrava 4 Choice-compulsory study plan
2005/2006 (N6202) Economic Policy and Administration (6202T010) Finance (00) Finance P Czech Ostrava 2 Choice-compulsory study plan
2005/2006 (M6202) Economic Policy and Administration (6202T010) Finance P Czech Ostrava 4 Choice-compulsory study plan

Occurrence in special blocks

Block nameAcademic yearForm of studyStudy language YearWSType of blockBlock owner

Assessment of instruction

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