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.
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.
Advised 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.