Terminated in academic year 2021/2022

Valuation and Hedging of Financial Derivatives

Type of study	Follow-up Master
Language of instruction	Czech
Code	154-0340/02
Abbreviation	Hedging
Course title	Valuation and Hedging of Financial Derivatives
Credits	3
Coordinating department	Department of Finance
Course coordinator	prof. Ing. Tomáš Tichý, Ph.D.

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

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.

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