154-0540/02 – Valuation and Hedging of Financial Derivatives (VHFD)
Gurantor department | Department of Finance | Credits | 3 |
Subject guarantor | prof. Ing. Tomáš Tichý, Ph.D. | Subject version guarantor | prof. Ing. Tomáš Tichý, Ph.D. |
Study level | undergraduate or graduate | Requirement | Choice-compulsory type B |
Year | 2 | Semester | winter |
| | Study language | English |
Year of introduction | 2019/2020 | Year of cancellation | |
Intended for the faculties | EKF | Intended for study types | Follow-up Master |
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:
Recommended literature:
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
Occurrence in study plans
Occurrence in special blocks