SylabUZ
| Course name | Financial Engineering |
| Course ID | 11.5-WK-MATD-IF-W-S14_pNadGen8TFEJ |
| Faculty | Faculty of Mathematics, Computer Science and Econometrics |
| Field of study | Mathematics |
| Education profile | academic |
| Level of studies | Second-cycle studies leading to MS degree |
| Beginning semester | winter term 2019/2020 |
| Semester | 3 |
| ECTS credits to win | 8 |
| Course type | optional |
| Teaching language | polish |
| Author of syllabus |
|
| The class form | Hours per semester (full-time) | Hours per week (full-time) | Hours per semester (part-time) | Hours per week (part-time) | Form of assignment |
| Lecture | 30 | 2 | - | - | Exam |
| Laboratory | 15 | 1 | - | - | Credit with grade |
| Class | 15 | 1 | - | - | Credit with grade |
After the course the students should have a basic knowladge on capital markets and mathematical methods of pricing selected financial instruments
Basics of financial mathematics, probability theory, basics of stochastic processes
1. Basic financial instruments: FORWARD and FUTURES contracts, options.
2. Pricing of basic financial contracts, financial arbitrage.
3. Currency futures conctracts-hedging of currency risk.
4. Black-Scholes model and arbitrage theory.
5. Self-financing and replicating strategies for financial securities.
6. Black-Scholes differential equation and prices of standard call and put options.
7. Feynmann-Kac formula and its application for option pricing.
8. Girsanov theorem and a martingale method for pricing of financial securities.
9. Pricing of selected exotic options.
Lectures, exercices and laboratory
| Outcome description | Outcome symbols | Methods of verification | The class form |
The final grade consists of the classes grade (30%), the lab’s grade (30%) and the examination’s grade (40%)
Modified by dr Robert Dylewski, prof. UZ (last modification: 20-09-2019 11:36)
