Beáta Stehlíková
Katedra aplikovanej matematiky a štatistiky, M266

E-mail: stehlikova@pc2.iam.fmph.uniba.sk
Web: http://pc2.iam.fmph.uniba.sk/institute/stehlikova/

:: Obsah stránky ::

• Aktuálna výučba - zimný semester 2014/2015:
  • Cvičenia z parciálnych diferenciálnych rovníc (4mef1, 4mef2)
  • Prednášky a cvičenia z finančných derivátov (v angličtine) (4mef)
  • Prednášky a cvičenia z časových radov (4mef)
  • Nepovinné cvičenia z časových radov (4mef)
• Diplomové práce
• Bakalárske práce
• Prezentácie pre študentov
• Výučba - archív

:: Financial derivatives ::

Information:

• Syllabus: Financial derivatives - introduction. Stochastic processes. Black-Scholes and Merton model. Pricing call and put options. Volatility. Greeks - sensitivity to parameters. Modelling transaction costs - Leland model. Numerical methods for pricing European derivatives. American types of derivatives and their pricing, numerical methods for pricing American derivatives. Short rate modelling. Pricing exotic derivatives.
• Programming: Except for the last topic (which is an introductory overview of different exotic derivatives and methods for their pricing), the topics will lead to their practical computer implementations. We will use Scilab software, which is free and its syntax is very similar to Matlab.
• Course notes (exercises): available at http://www.iam.fmph.uniba.sk/institute/stehlikova/fd-en.html

Lectures:

Computer labs:

Scilab software: http://www.scilab.org

Grading:

• During the term: max. 40 points
  • 8 points: test 1 (European options, stochastic processes, stochastic differential equations) - sample test: [sample1.pdf]
  • 8 points: test 2 (Black-Scholes model, Leland model) - sample test: [sample2.pdf]
  • 8 points: homework (revision of numerical methods) - [hw_numerics.pdf]
  • 8 points: pricing American options - programming assignments, a necessary condition for obtaining the points is passing a short theoretical test on this topic - [hw-option.pdf]
  • 8 points: individual homework, can be solved individually or in pairs (1 problem for every student/group, assigned during the course) - [hw.pdf]
• Extra credit - two extra credit assignments (option strategies and online game dealing with financial derivatives), points depend on both absolute (e.g., does the strategy lead to a profit?) and relative (how does it perform relative to other students' strategies?) success
  • Extra credit 1: [extra_credit_1.pdf], deadline: 17th November 2014
  • Extra credit 1: [extra_credit_2.pdf], deadline: 15th December 2014
• Points: min{40, "regular points" + bonus points}
• Exam: max. 60 points
  • 30 bodov: open-book, using computer
  • 30 bodov: oral exam, close-book
  • One question on the oral exam comes from the "fundamentals", a satisfactory answer is necessary for passing the exam. The list of the questions, constituting the "fundamentals": [exam_fundamentals.pdf]
• Grades: A: 90+, B: [80,90), C: [70,80),D: [60,70), E: [50,60)

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