Předmět Finanční deriváty II (v angličtině) (1BP451)

Na serveru studentino.cz naleznete nejrůznější studijní materiály: zápisky z přednášek nebo cvičení, vzorové testy, seminární práce, domácí úkoly a další z předmětu 1BP451 - Finanční deriváty II (v angličtině), Fakulta financí a účetnictví, Vysoká škola ekonomická v Praze (VŠE).

Materiál	Typ	Datum	Počet stažení

Obsah

1. Valuation and trading of options (options on stock indices, currencies, and futures, Greek letters and hedging, volatility smiles)2. Numerical procedures for derivatives valuation (binomial trees, Monte Carlo simulations, finite difference methods, valuation of path-dependent derivatives)3. Estimating volatilities and correlations (moving average, exponential weighting, and GARCH models)4. Credit derivatives (probability of default and recovery modeling, default correlations, credit default swaps, collateralized debt obligations)5. Martingales and measures (market price of risk, martingales, numeraire, risk neutral measures, applications to valuation of derivatives)6. Interest rate derivatives (bond options, caps and floors, swaptions, Black’s model)7. Short interest rate models (Vasicek model, Cox-Ingersoll-Ross model, no-arbitrage models, interest rate trees)8. Advanced interest rate models (Heath-Jarrow-Morton model, Libor market model)9. Value at Risk and risk management of derivatives (parametric estimations, historical simulation, Monte Carlo simulation, stress testing, specific issues related to derivatives risk management)

Získané způsobilosti

Upon successful completion of this course, students will be able to: - understand the nature of advanced derivatives, their advantages, and risks;- apply the concept of risk-neutral measure;- model future development of interest rates;- value the most important credit and interest rate derivatives;- perform basic numerical procedures, i.e. estimate volatilities and correlations from historical data or run a Monte Carlo simulation to value derivatives or to calculate Value at Risk.

Literatura

TypAutorNázevMísto vydáníNakladatelRokISBNZWITZANY, J.Financial Derivatives and Market Risk Management (Part II).Praha:Nakladatelství Oeconomica, 2012.978-80-245-1878-7DHULL, J.Options, futures, and other derivatives.Upper Saddle River:Pearson Prentice Hall, 2006.0-13-149908-4DSHREVE, S E.Stochastic calculus for finance I : the binominal asset pricing model.New York:Springer, 2005.0-387-24968-0DSHREVE, S E.Stochastic calculus for finance II : continuous-time models.New York:Springer, 2004.0-387-40101-6DDVOŘÁK, P.Deriváty.Praha:Oeconomica, 2008.978-80-245-1435-2DJÍLEK, J.Finanční a komoditní deriváty v praxi.Praha:Grada, 2005.80-247-1099-4DWITZANY, J.International financial markets.Praha:Oeconomica, 2007.978-80-245-1274-7

Požadavky

žádné

Garant

doc. RNDr. Jiří Witzany, Ph.D.

Vyučující

doc. RNDr. Jiří Witzany, Ph.D.