1. SylabUZ
2. Wydział Matematyki, Informatyki i Ekonometrii
3. semestr zimowy 2022/2023
4. Mathematics - pierwszego stopnia z tyt. licencjata
5. Introduction to Financial Engineering

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Introduction to Financial Engineering - opis przedmiotu

Cel przedmiotu

The course covers selected topics related to financial engineering. The objective of the classes is to familiarize students with fundamental concepts related to capital markets and methods of valuing financial instruments traded on these markets, based on stochastic analysis methods.

Wymagania wstępne

Zapisz zmiany

Proficiency in fundamental courses of mathematical analysis, probability theory, stochastic processes, and basics of financial mathematics.

Zakres tematyczny

Lecture:

Institutions and instruments of the capital market. Valuation methods for stocks on the Warsaw Stock Exchange (quotation systems). Basic financial instruments: forward and futures contracts, options. Valuation of forward and futures contracts. Financial arbitrage. Investing in futures contracts on the Warsaw Stock Exchange - settlement of long and short positions. Margin deposit system. Currency futures contracts as a hedge against exchange rate risk. Black-Scholes market model and arbitrage theory. Self-financing and replicating strategies for derivative instruments. Black-Scholes equation and the pricing of standard options. Option strategies and their valuation.

Exercises:

Information about the Warsaw Stock Exchange and Commodity Exchange: operation methods; types of instruments: futures contracts, stocks, options, warrants, rights issues, rights to shares, and others; quotation systems; types of orders. Futures contracts - calculating profit/loss, the role of arbitrage, contract value. Options and option strategies - determining profit/loss functions, and relationships with futures contracts. Self-financing strategies. Black-Scholes model - calculating option prices. Options on futures contracts.

Metody kształcenia

The lecture will be supplemented with illustrative accounting examples to demonstrate the discussed concepts. Exercises will involve individual solving of theoretical and computational tasks, preceded by a theoretical introduction to the analyzed problems.

The laboratory component will include computer simulations of price processes and statistical analysis of market data using computer software packages. Students will engage in hands-on activities, applying theoretical concepts to real-world scenarios through the use of computational tools. The goal is to enhance practical skills in financial analysis, data interpretation, and the application of mathematical models to simulate and understand market dynamics.

Efekty uczenia się i metody weryfikacji osiągania efektów uczenia się

Opis efektu	Symbole efektów	Metody weryfikacji	Forma zajęć

Warunki zaliczenia

The assessment is divided into exercises (40%) and an exam (60%).

To be eligible to take the exam, a positive evaluation of the exercises is required.

To pass the course, both a positive assessment from the exercises and the exam are necessary.

Literatura podstawowa

1. A. N. Shiryaev, Essentials of Stochastic Finance, World Scientific, 1999.
2. M. Musiela, M. Rutkowski, Martingale Methods in Financial Modelling, Springer, 1997.
3. R.S. Lipcer, A.N. Shiryaev, Statistics of Random Processes, Springer, 2001.
4. J. Hull, Options, Futures and Other Derivatives, Prentice Hall International, 2005

Literatura uzupełniająca

Uwagi

Zmodyfikowane przez dr hab. Mariusz Michta, prof. UZ (ostatnia modyfikacja: 28-12-2023 20:55)