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Mathematical Models of Derivatives Markets

General data

Course ID: 1000-135IP1 Erasmus code / ISCED: 11.923 / (0619) Information and Communication Technologies (ICTs), not elsewhere classified
Course title: Mathematical Models of Derivatives Markets Name in Polish: Modele matematyczne rynku instrumentów pochodnych I
Department: Faculty of Mathematics, Informatics, and Mechanics
Course groups: (in Polish) Przedmioty fakultatywne na matematyce
Elective courses for 2nd stage studies in Mathematics
ECTS credit allocation (and other scores): 6.00
view allocation of credits
Language: English
Type of course:

elective courses

Prerequisites:

Probability theory II 1000-115aRP2a

Prerequisites (description):

The student should have approved Probability Theory II. Introduction to Stochastic Analysis is recommended.

Short description:

During this course we describe and solve problems related to the modelling of financial markets and to the pricing and hedging of financial derivatives.

Full description:

The one period model. Description of financial market, options, forward and futures contract, portfolio, arbitrage, replication, valuation.

The finite market. Self-financing portfolio, contingent claims, arbitrage, replication, valuation. Martingale pricing. Completeness. The fundamental theorems. American options. Binomial model. Incomplete markets. Futures.

Continuous time market. Black-Scholes model. Pricing of contingent claims, forward, futures contracts and exotic options.

Bibliography:

M. Musiela, M. Rutkowski, Martingale Methods in Financial Modelling, Springer-Verlag, 1997.

Learning outcomes:

Student

- knows the basics of stochastic modeling of financial markets

- knows the basic theorems of financial mathematics allowing to investigate the existence of arbitrage and the completeness of the market

- knows various methods of valuation of derivatives

- knows the methods of valuation of basic derivative instruments on the Blacka-Scholesa market

Assessment methods and assessment criteria:

Two-part written exam (1st exercises, 2nd theory - test). Oral examination for very good grade and for those who want to improve the grade.

Classes in period "Summer semester 2018/19" (past)

Time span: 2019-02-16 - 2019-06-08
Choosen plan division:


magnify
see course schedule
Type of class: Class, 30 hours more information
Lecture, 30 hours more information
Coordinators: Jacek Jakubowski
Group instructors: Jacek Jakubowski
Students list: (inaccessible to you)
Examination: Course - Examination
Lecture - Examination

Classes in period "Summer semester 2019/20" (future)

Time span: 2020-02-17 - 2020-06-10

Choosen plan division:


magnify
see course schedule
Type of class: Class, 30 hours more information
Lecture, 30 hours more information
Coordinators: Jacek Jakubowski
Group instructors: Jacek Jakubowski
Students list: (inaccessible to you)
Examination: Course - Examination
Lecture - Examination
Course descriptions are protected by copyright.
Copyright by University of Warsaw.