Finančné deriváty:
tvorba študijného textu a pilotná výučba
Beáta Stehlíková
Katedra aplikovanej matematiky a štatistiky, M266
E-mail: stehlikova@pc2.iam.fmph.uniba.sk
Web: http://www.iam.fmph.uniba.sk/institute/stehlikova/
:: Course notes ::
| Beáta Stehlíková, Financial derivatives: Exercises, 2013 [pdf] |
:: Lectures (winter term 2014/2015) ::
Slides from the lectures and some additional resources can be found below:| Topic | Slides | Other |
| Derivatives, call and put options, bounds on option prices, combined strategies | 01_options.pdf | |
| Stochastic calculus | 02_stochastics.pdf | |
| Modelling interest rates I. | 03_interest_rates_1.pdf, 03a_first_passage_time.pdf | |
| Modelling interest rates II. | 04_interest_rates_2.pdf | |
| Black-Scholes model I. | 05_black_scholes_1.pdf | |
| Black-Scholes model II. | 06_black_scholes_2.pdf | |
| Black-Scholes model III. | 07_black_scholes_3.pdf | |
| Leland model I. | 08_leland_1.pdf | |
| Leland model II. | 09_leland_2.pdf | |
| Overview of other nonlinear models | 10_nonlinear_models.pdf | |
| American options | 11_us_options.pdf | |
| Numerical methods for pricing European options | 12_numerics_euro.pdf | |
| SOR method for solving a system of linear equations | 13_numerics_sor.pdf | Illustration of SOR method: [ods], [xls] |
| Numerical methods for pricing American options - PSOR method | 14_numerics_us_psor.pdf | |
| Exotic options I. | 15_exotic_options_1.pdf | |
| Exotic options II. | 16_exotic_options_2.pdf | Margrabe formula: [html], [Rmd source code] |
Computer labs (winter term 2014/2015)
Tutorials to computer labs (in form of webpages) can be found below:
| Topic | Link |
| Derivatives, call and put options, bounds on option prices, combined strategies | [html] |
| Stochastic processes I. - Wiener process, Brownian motion, geometrical Brownian motion | [html] |
| Stochastic processes II. - stochastic differential equations | [html] |
| Interest rate modelling I. - short rate in Vasicek model | [html] |
| Interest rate modelling II. - bond prices in Vasicek model | [html] |
| Black-Scholes I. - Black-Scholes formula | [html] |
| Black-Scholes II. - implied volatility | [html] |
| Black-Scholes III. - greeks | [html] |
| Leland model - modelling transaction costs | [html] |
| Numerical solution of the Black-Scholes PDE | [html] |
| Numerical pricing of American options | [html] |
:: Other resources for Scilab software ::
- Scilab website
- [profit_payoff.sce] - source code to Figure 1.1 in the course notes, example of formatting plots in Scilab
- Many Scilab tutorials can be found at:
- Openeering website
- infoClearinghouse website
Beáta Stehlíková
Department of Applied Mathematics and Statistics
Faculty of Mathematics, Physics and Informatics
Comenius University
Bratislava
Slovak Republic
E-mail: stehlikova@pc2.iam.fmph.uniba.sk
Web: http://pc2.iam.fmph.uniba.sk/institute/stehlikova/
Department of Applied Mathematics and Statistics
Faculty of Mathematics, Physics and Informatics
Comenius University
Bratislava
Slovak Republic
E-mail: stehlikova@pc2.iam.fmph.uniba.sk
Web: http://pc2.iam.fmph.uniba.sk/institute/stehlikova/
