Lecturer(s)


Talašová Jana, doc. RNDr. CSc.

Bohanesová Eva, Mgr. Ph.D.

Course content

1. Bonds; bond price 2. Term structure of interest rates 3. Yield curves; bonds and arbitrage 4. Arbitrage portfolio; premature redemption 5. Duration of a bond 6. Immunization of a bond portfolio 7. Immunization of a bond portfolio  additional problems 8. Random interest rate; stochastic procesess, Brownian motion 9. Ito´s lemma; modeling of stock market price 10. Modeling of option price  binomial tree model 11. Change of the probability measure 12. Modeling of option price  continuous case

Learning activities and teaching methods

Lecture, Projection (static, dynamic)
 Attendace
 39 hours per semester
 Preparation for the Course Credit
 20 hours per semester
 Preparation for the Exam
 40 hours per semester

Learning outcomes

To gain knowledge of selected parts of advanced mathematics of finance.
Learn to construct a yield curve, to analyze bonds on the base of arbitrage, on the risk of premature redemption and on the changes in interest rates; learn to use special instruments to model stock and option market price.

Prerequisites

KMA/FIM1 or KMA/FIMN
KMA/FIM1

Assessment methods and criteria

Oral exam, Student performance
Credit: to have the demanded presence in the Exercises, to gain at least half of the max. number of points in the written test. Exam: to understand all the particular parts of the object, to be able to derive the corresponding formulae and relations.

Recommended literature


I. Melicherčík a kol. (2005). Kapitoly z finančnej matematiky 1. Zvolen.

M. Baxter, A. Rennie . (1996). Financial calculus, An introduction to derivatice pricing. Cambridge.

T. Cipra. (2000). Matematika cenných papírů. Praha.
