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.
Ukončeno v akademickém roce 2019/2020
Oceňování a hedging finančních derivátů
| Typ studia | navazující magisterské |
|---|---|
| Jazyk výuky | angličtina |
| Kód | 154-0540/01 |
| Zkratka | VHFD |
| Název předmětu česky | Oceňování a hedging finančních derivátů |
| Název předmětu anglicky | Valuation and Hedging of Financial Derivatives |
| Kreditů | 3 |
| Garantující katedra | Katedra financí |
| Garant předmětu | prof. Ing. Tomáš Tichý, Ph.D. |
Osnova předmětu
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
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
Povinná literatura
Doporučená literatura
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.
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.