N_FD Financial Derivatives

University of Finance and Administration
Winter 2023
Extent and Intensity
0/2/0. 3 credit(s). Type of Completion: z (credit).
Teacher(s)
doc. RNDr. Petr Budinský, CSc. (seminar tutor)
Guaranteed by
doc. RNDr. Petr Budinský, CSc.
Department of Finance – Departments – University of Finance and Administration
Contact Person: Dita Egertová
Timetable of Seminar Groups
N_FD/cFPH: each even Tuesday 8:45–9:29 S22, each even Tuesday 9:30–10:15 S22, each even Tuesday 10:30–11:14 S22, each even Tuesday 11:15–12:00 S22; and Tue 28. 11. 8:15–8:44 S22, Tue 12. 12. 8:15–8:44 S22, P. Budinský
Prerequisites
There are no prerequisites for this course.
Course Enrolment Limitations
The course is offered to students of any study field.
Course objectives
At the end of this course the student should be able to understand and explain financial derivatives as an important term money market instruments, both in terms of the   complex financial market instruments, and from the point of view of their   in   use hedging, trading and arbitragingu. Besides unconditional futures, attention is paid to financial options. Students will be able to explain and handle option pricing using the binomial model  , with Black-Scholes model and the model of parity.
Learning outcomes
i) Definition, dimension, application of FD ii) Probanility-Statistics Models of Evaluation iii) Total Equilibrium Models - Continuous iv) Total Equilibrium Models - Discrete v) Partial Equilibrium Models vi) Transfer from Continuous Hedging to Discrete Hedging vii) Some Types of Discrete Hedging
Syllabus
  • Lectures 1st Instruments underlying futures market and how to use them 2nd Financial options and their valuation 3rd Futures and appreciation 4th Statistical and probabilistic valuation basis FD 5th The design and programming of the option pricing 6th Applications of derivatives Exercise (detailed content - see methodological sheet for FD): 1st Practice the basics of empirical and mathematical statistics 2nd Practise the necessary fundamentals of mathematical economics 3rd Practice the basics of creating projects in the area of ​​valuation of   FD 4th Practice structure derivative exchanges in the world and the Prague Stock Exchange 5th Presentations created projects 6th granting credits
Literature
    required literature
  • Pavlát,V., Záškodný,P.: Od finančních derivátů k opčnímu hedgingu. 1. a 2.díl. Curriculum, Praha, 2012, 2016
  • Záškodný,P., Pavlát,V., Budík,J.: Finanční deriváty a jejich oceňování.VŠFS,Praha 2007
    recommended literature
  • Pavlát,V. a kol.: Kapitálové trhy. Professional Publishing. Praha 2003
  • Sharpe,W.F., Alexander,G.J.: Investice. KB, Plzeň 1993
  • Budínský,P., Záškodný,P.: Finanční a investiční matematika. VŠFS, Praha 2004
  • Záškodný,P. a kol.: Základy ekonomické statistiky. VŠFS, Praha 2003
  • Dvořák,P.: Finanční deriváty. VŠE, Praha 1996 (a další vydání)
  • Pavlát,V.: Finanční opce. Magnet-Press, Praha 1994
Teaching methods
Teaching takes the form lectures full-time study, group managed consultations in part-time study; compulsory seminar participation is 75% in full-time study, compulsory tutorial participation is 50% in part-time study. Students who fail to meet the mandatory level of participation may be given during the semester additional study obligations (to the extent that will demonstrate academic achievement and acquired competencies necessary for successful completion of course).
Assessment methods
Course completion: credit   Requirements for credit: Project survey in relation to the choice of foreign exchange derivative Selected algorithmic project valuation chosen type of financial derivative Defending both projects
Language of instruction
Czech
Further comments (probably available only in Czech)
The course can also be completed outside the examination period.
Information on the extent and intensity of the course: 12 hodin KS/semestr.
The course is also listed under the following terms Winter 2007, Summer 2009, Summer 2010, Summer 2011, summer 2012, Winter 2012, Summer 2013, Winter 2013, Winter 2014, Winter 2015, Winter 2016, Winter 2017, Winter 2018, Winter 2019, Winter 2020, Winter 2021, Winter 2022, Winter 2024.
  • Enrolment Statistics (Winter 2023, recent)
  • Permalink: https://is.vsfs.cz/course/vsfs/winter2023/N_FD