Financial Markets Theory

Code	Completion	Credits	Range	Language
18TFT	KZ	4	2P+2C	Czech

The course 18ZDFT can be graded only after the course 18TFT has been successfully completed.

Garant předmětu:

Quang Van Tran

Lecturer:

Quang Van Tran, Nichita Vatamaniuc

Tutor:

Quang Van Tran, Nichita Vatamaniuc

Supervisor:

Department of Software Engineering

Synopsis:

Since financial instrument prices are unknown in advance to financial market participants, financial derivatives are currently being used as common instruments to eliminate risks arising from price instability of financial assets. The theory of financial markets uses the knowledge of mathematical analysis and statistics to manage the portfolio of risk assets and the valuation of sophisticated financial instruments in the form of derivatives such as swaps, forwards, futures and options.

Requirements:

Basic knowledge of mathematical analysis, mathematical statistics and probability theory

Syllabus of lectures:

1. The financial market and its functioning

2. Financial instruments: risk-free assets

3. Financial Instruments: risk assets

4. Dynamics of prices of financial instruments

5. Portfolio management

6. Term contracts: swaps, forward and futures

7. Options and their basic features

8. Black-Scholes formula and option pricing

9. Alternative way to deduce the Black-Scholes formula

10. Financial engineering using options

11. Volatility and its modeling

12. Models of time structure of interest rate

13. Other stochastic models of derivative valuation

Syllabus of tutorials:

The structure of exercises is identical to lectures. Exercises are focused on typical problems from each topic.