154-0340/02 – 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
Year2Semesterwinter
Study languageCzech
Year of introduction2009/2010Year of cancellation
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 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:

1. Hull, J. C. Options, Futures and other Derivatives. 8th edition. Prentice Hall, 2011. 2. Hull, J. C. Risk Management and Financial Institutions. Wiley, 2012. 3. Tichý, T. Lévy Processes in Finance: Selected applications with theoretical background. SAEI, vol. 9. Ostrava: VŠB-TU Ostrava, 2011. 4. Tichý, T. Lattice models – Pricing and Hedging at (In)complete Markets. VŠB-TU Ostrava, 2008.

Recommended literature:

1. Neftci, S. Principles of Financial Engineering. Academic Press, 2004. 2. Schoutens, W. Lévy Processes in Finance: Pricing Financial Derivatives. Wiley. 2003. 3. Shreve, S. E. Stochastic Calculus for Finance I: The Binomial Asset Pricing Models. Springer, 2004. 4. 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

Další požadavky na studenta

Další požadavky na studenta

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: 2009/2010 Winter semester)
Task nameType of taskMax. number of points
(act. for subtasks)
Min. number of points
Examination Examination 100  51
Mandatory attendence parzicipation:

Show history

Occurrence in study plans

Academic yearProgrammeField of studySpec.FormStudy language Tut. centreYearWSType of duty
2019/2020 (N6202) Economic Policy and Administration (6202T010) Finance P Czech Ostrava 2 Choice-compulsory study plan
2018/2019 (N6202) Economic Policy and Administration (6202T010) Finance P Czech Ostrava 2 Choice-compulsory study plan
2017/2018 (N6202) Economic Policy and Administration (6202T010) Finance P Czech Ostrava 2 Choice-compulsory study plan
2016/2017 (N6202) Economic Policy and Administration (6202T010) Finance P Czech Ostrava 2 Choice-compulsory study plan
2015/2016 (N6202) Economic Policy and Administration (6202T010) Finance P Czech Ostrava 2 Choice-compulsory study plan
2014/2015 (N6202) Economic Policy and Administration (6202T010) Finance P Czech Ostrava 2 Choice-compulsory study plan
2013/2014 (N6202) Economic Policy and Administration (6202T010) Finance P Czech Ostrava 2 Choice-compulsory study plan
2013/2014 (N6202) Economic Policy and Administration (6202T010) Finance (00) Finance P Czech Ostrava 2 Choice-compulsory study plan
2012/2013 (N6202) Economic Policy and Administration (6202T010) Finance (00) Finance P Czech Ostrava 2 Choice-compulsory study plan
2011/2012 (N6202) Economic Policy and Administration (6202T010) Finance (00) Finance P Czech Ostrava 2 Choice-compulsory study plan
2010/2011 (N6202) Economic Policy and Administration (6202T010) Finance (00) Finance P Czech Ostrava 2 Choice-compulsory study plan
2009/2010 (N6202) Economic Policy and Administration (6202T010) Finance (00) Finance P Czech Ostrava 2 Choice-compulsory study plan

Occurrence in special blocks

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