University of Warsaw - Central Authentication System

QUICK START
STUDENTS AND STAFF
FACULTIES
COURSES
- Mathematical Models of Derivatives Markets
STUDIES
DORMITORIES
HELP

Mathematical Models of Derivatives Markets

General data

Course ID:	1000-135IP1
Erasmus code / ISCED:	11.923 Kod klasyfikacyjny przedmiotu składa się z trzech do pięciu cyfr, przy czym trzy pierwsze oznaczają klasyfikację dziedziny wg. Listy kodów dziedzin obowiązującej w programie Socrates/Erasmus, czwarta (dotąd na ogół 0) – ewentualne uszczegółowienie informacji o dyscyplinie, piąta – stopień zaawansowania przedmiotu ustalony na podstawie roku studiów, dla którego przedmiot jest przeznaczony. / (0619) Information and Communication Technologies (ICTs), not elsewhere classified The ISCED (International Standard Classification of Education) code has been designed by UNESCO.
Course title:	Mathematical Models of Derivatives Markets
Name in Polish:	Modele matematyczne rynku instrumentów pochodnych I
Organizational unit:	Faculty of Mathematics, Informatics, and Mechanics
Course groups:	(in Polish) Przedmioty 4EU+ (z oferty jednostek dydaktycznych) (in Polish) Przedmioty obieralne na studiach drugiego stopnia na kierunku bioinformatyka Elective courses for 2nd stage studies in Mathematics
ECTS credit allocation (and other scores):	6.00 Basic information on ECTS credits allocation principles: the annual hourly workload of the student’s work required to achieve the expected learning outcomes for a given stage is 1500-1800h, corresponding to 60 ECTS; the student’s weekly hourly workload is 45 h; 1 ECTS point corresponds to 25-30 hours of student work needed to achieve the assumed learning outcomes; weekly student workload necessary to achieve the assumed learning outcomes allows to obtain 1.5 ECTS; work required to pass the course, which has been assigned 3 ECTS, constitutes 10% of the semester student load. 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. Knowledge of martingale theory in discrete time is essential. 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:	Description of financial market, options, forward and futures contract, portfolio, arbitrage, replication, valuation. The finite market (discrete time 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:	S. Pliska Introduction to mathematical finance: Discrete time models, 1997. Elliot, J.R., Kopp, P.E., Mathematics of Financial Markets, Springer-Verlag, New York 1999. Musiela, M. Rutkowski, Martingale Methods in Financial Modelling, Springer-Verlag, 1997. SE Shreve Stochastic calculus for finance I: the binomial asset pricing model, 2005. SE Shreve Stochastic calculus for finance II: Continuous-time models, 2004. JM Steele, Stochastic calculus and financial applications, Springer 2012.
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:	The assessment criteria are specified in the description of the cycle.

Classes in period "Summer semester 2023/24" (in progress)

Time span:	2024-02-19 - 2024-06-16	Selected timetable range: weekly course term Navigate to timetable MO TU W WYK CW TH FR
Type of class:	Classes, 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.