1. komponenta

Lecture type	Total
Lectures	15
Exercises	45
Seminar	15

COURSE AIMS AND OBJECTIVES: To develop skills in applications of financial models; to understand and to interpret correctly data and analyses and to develop skills in using financial software.

COURSE DESCRIPTION AND SYLLABUS:
1. Simulation of binomial models (Cox - Ross - Rubinstein model).
2. Simulation of continuous models (Black - Scholes model).
3. Pricing of derivatives (Black - Scholes formula).
4. Estimating volatility.
5. CAP (Capital Asset Pricing) model. Modeling yield curve. Portfolio construction (b -coefficient, market indicators).
6. Risk measures. Calculating and estimating VaR (Value at Risk).

1. The Econometrics of Financial Markets, J. W. Campbell, A. W. Lo, A. C. MacKinlay, Princeton University Press, 1996.
2. Futures, and Other Derivative Securities, 5th edition, J. C. Hull, Prentice Hall, 2002.
3. Financial Calculus, W. A. Baxter, A. Rennie, Cambridge University Press, 1996.
4. Modelling Extremal Events for Insurance and Finance, P. Embrechts, C. Kluppelberg, and T. Mikosch, Springer Verlag, 1997.
5. Financial Toolbox User's Guide, The Mathworks, Inc, 2000.
6. Monte Carlo: Concepts, Algorithms, and Applications, G. S. Fishman, Springer Verlag, 1995.
7. Numerical Solutions of SDE Through Computer Experiments, P. E. Kloeden, E. Platen, H. Schurz, Springer Verlag, 1991.
8. Applied Statistics using SPSS, STATISTICA and MATLAB, J. P. Marques de Sa, Springer Verlag, 2003.
9. Modelling Financial Derivatives with Mathematica, W. Shaw, Cambridge University Press, 1999.
10. Introduction to Mathematical Finance: Discrete Time Models, S. R. Pliska, Blackwell Publishers, 1997.

Enrollment :
Attended : Financial modelling
Attended : Statistics lab 1

Examination :
Passed : Financial modelling
Passed : Statistics lab 1

Mandatory course - Regular study - Financial and Business Mathematics