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Lecturer(s)
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Gašpařík Adam, doc. RNDr. Ph.D.
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Course content
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Risk neutral pricing. Basics of theory of probability, binomial model. Arbitrage approach to pricing. Introduction to stochastic calculus. Wiener process and its properties. Ito integral and Ito lemma. pricing of derivatives. Black-Scholes model and its derivation. Delta hedging, implied volatility. American options and their pricing.
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Learning activities and teaching methods
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Individual study, Self-study of literature, Lecture
- Contact hours
- 52 hours per semester
- Preparation for an examination (30-60)
- 60 hours per semester
- Graduate study programme term essay (40-50)
- 40 hours per semester
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| prerequisite |
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| Knowledge |
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| Understand the following subjects: Financial and insurance calculations 1 (KEM/FIPV1), and Probabilistic models (KEM/PMO). |
| Skills |
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| N/A |
| Competences |
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| N/A |
| learning outcomes |
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| Knowledge |
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| get basics of sw Mathematica acquainted. |
| understand modern approches and methods in finance based upon stochastic processes- risk neutral pricing |
| use of Wiener process in finance |
| option pricing, Black-Scholes model, american option |
| Skills |
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| N/A |
| Competences |
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| N/A |
| teaching methods |
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| Knowledge |
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| Lecture |
| Self-study of literature |
| Individual study |
| Skills |
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| Lecture |
| Competences |
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| Lecture |
| assessment methods |
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| Knowledge |
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| Combined exam |
| Seminar work |
| Skills |
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| Combined exam |
| Competences |
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| Combined exam |
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Recommended literature
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MÁLEK, J. Opce a futures. Praha : VŠE, 2003.
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SHREVE, S. Stochastic Calculus for Finance I: The Binomial Asset Pricing Model.. New York : Springer, 2005.
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SHREVE, S. Stochastic Calculus for Finance II: Continuous-Time Models.. New York : Springer, 2004.
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