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
• Diplomové práce
• Bakalárske práce
• 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 exercises will lead to their practical computer implementations. We will use R-Studio.
• Time-table: fd16-timetable.pdf

Lectures:

Exercises:

Grading:

• During the term:
  • 10 points: test 1 (European options, stochastic processes, stochastic differential equations), during exercises, open-book - sample test: sample1.pdf, grades: 2016_test1.pdf
  • 10 points: test 2 (Black-Scholes model, Leland model), during exercises, open-book - sample test: sample2.pdf, grades: 2016_test2.pdf
  • 10 points: test 3 (numerical methods), during lecture, one A4 cheat sheet allowed - instructions: instructions.pdf, deadline for submission of the code: Monday 2nd May 2016, review and sample test: review_numerics.pdf, , grades: 2016_test3.pdf
  • 10 points: individual homework, can be solved individually or in pairs (1 problem for every student/group, assigned during the term), hw2016.pdf
  • Results from retaking the tests: 2016_retaking.pdf
• Extra credit
  • Extra credit 1 - option strategies (credit depends on the performace of the strategy): EC1.pdf, results: EC1-results.html
  • Extra credit 2 - online game about financial derivatives: EC2.pdf, results: EC2-results.pdf
  • Extra credit 3 - game about financial derivatives, similar to Activity or Party Alias, played during exercises, board: in English, in Slovak, link to an online dice, results: EC3-results.pdf
• Exam:
  • 30 points: open-book, using computer
  • 30 points: oral exam, close-book
  • One question on the oral exam comes from the "fundamentals", a satisfactory answer is necessary for passing the exam. List of the questions, constituting the "fundamentals": fd_fundamentals.pdf
  • Sample written and oral exam: sample_exam_written+oral.pdf
• Grades: A: 90+, B: [80,90), C: [70,80),D: [60,70), E: [50,60)

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