154-0540/02 – Valuation and Hedging of Financial Derivatives (VHFD)

Gurantor departmentDepartment of FinanceCredits3
Subject guarantorprof. Ing. Tomáš Tichý, Ph.D.Subject version guarantorprof. Ing. Tomáš Tichý, Ph.D.
Study levelundergraduate or graduateRequirementChoice-compulsory type B
Year2Semesterwinter
Study languageEnglish
Year of introduction2019/2020Year 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 nonstandard derivatives.The task is to allow the students to use obtained knowledge in solving of real problems.

Compulsory literature:

HULL, J. C. Option, Futures and other Derivatives. 9th ed. New York: Prentice Hall, 2014, 896 p. ISBN 978-01-334-5631-8. 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:

NEFTCI, S. Principles of Financial Engineering. 2nd ed. Academic Press, 2008, 695 p. ISBN 978-01-237-3574-4. SCHOUTENS, W. Lévy Processes in Finance: Pricing Financial Derivatives. Wiley, 2003, 200 p. ISBN 978-04-708-5156-2. SHREVE, S. E. Stochastic Calculus for Finance I: The Binomial Asset Pricing Models. Springer, 2004, 187 p. ISBN 978-03-872-4968-1. 4. SHREVE, S. E. Stochastic Calculus for Finance II: Continuous-Time Models. Springer, 2004, 550 p. 978-14-419-2311-0. 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

Other requirements

there are no other requirements on student.

Prerequisities

Subject has no prerequisities.

Co-requisities

Subject has no co-requisities.

Subject syllabus:

1. Úvod do problematiky (finanční trhy, finanční deriváty, přístupy k ocenění). 2. Úvod do problematiky (přehled modelů a softwarových produktů). 3. Lineární finanční deriváty (forwardy, futures, swapy). 4. Nelineární finanční deriváty (jednoduché opce, exotické opce). 5. Stochastické procesy. 6. Pokročilé stochastické procesy. 7. Blackův a Scholesův model. 8. Rozšířené modely. 9. Diskrétní oceňovací modely. 10. Simulace Monte Carlo. 11. Úrokové sazby a úrokové deriváty. 12. Exotické deriváty (na počasí, energetické, kreditní). 13. Nefinanční instituce: možnosti využití finančních derivátů při hedgingu. 14. Finanční instituce: hedging a replikace finančních derivátů.

Conditions for subject completion

Full-time form (validity from: 2019/2020 Winter semester)
Task nameType of taskMax. number of points
(act. for subtasks)		Min. number of points
Examination Examination 100  51
Mandatory attendence parzicipation:

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Occurrence in study plans

Academic yearProgrammeField of studySpec.ZaměřeníFormStudy language Tut. centreYearWSType of duty
2022/2023 (N0412A050005) Finance P English Ostrava 2 Choice-compulsory type B study plan
2021/2022 (N0412A050005) Finance P English Ostrava 2 Choice-compulsory type B study plan
2020/2021 (N0412A050005) Finance P English Ostrava 2 Choice-compulsory type B study plan
2019/2020 (N0412A050005) Finance P English Ostrava 2 Choice-compulsory type B study plan

Occurrence in special blocks

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