1. komponenta

Lecture type	Total
Lectures	15
Exercises	45
Seminar	15

* Load is given in academic hour (1 academic hour = 45 minutes)

COURSE AIMS AND OBJECTIVES: To develop skills in applications of financial models; to understand and to interpret correctly data and analyses and to develop skills in using financial software.

COURSE DESCRIPTION AND SYLLABUS:
1. Simulation of binomial models (Cox - Ross - Rubinstein model).
2. Simulation of continuous models (Black - Scholes model).
3. Pricing of derivatives (Black - Scholes formula).
4. Estimating volatility.
5. CAP (Capital Asset Pricing) model. Modeling yield curve. Portfolio construction (b -coefficient, market indicators).
6. Risk measures. Calculating and estimating VaR (Value at Risk).

Enrollment :
Attended : Financial modelling
Attended : Statistics lab 1

Examination :
Passed : Financial modelling
Passed : Statistics lab 1

Mandatory course - Regular study - Financial and Business Mathematics