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Valuation of financial derivatives (MASTER)

Syllabus

Description of financial instruments, discrete models, replication strategies, the pricing theorem, binomial model, europena options, americal options, exotic options, stochastic integration, Ito lemma, stochastic differential equation. Stochastic interest rate models: discrete models, interest rate derivatives. Empirical asset pricing models.

Contacts

Aleš Ahčan

Office hours

Wednesday at 11:00

room RZ-206