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Financial modelling 2

Code: 92988
ECTS: 5.0
Lecturers in charge: doc. dr. sc. Vanja Wagner - Lectures
English level:


All teaching activities will be held in Croatian. However, foreign students in mixed groups will have the opportunity to attend additional office hours with the lecturer and teaching assistants in English to help master the course materials. Additionally, the lecturer will refer foreign students to the corresponding literature in English, as well as give them the possibility of taking the associated exams in English.

1. komponenta

Lecture typeTotal
Lectures 45
* Load is given in academic hour (1 academic hour = 45 minutes)
To explain mathematics of the fundamental Black-Scholes model and pricing within that model.

1. Brownian motion and Ito calculus. Brownian motion. Continuous time martingales. Ito integral. Ito formula. Stochastic differential equations.
2. Black-Scholes model. Model description. Change of measure, martngale representation. Pricing and hedging of European securities. American options in Black - Scholes model. Partial differential equations in Black - Scholes model. Bonds, forrwards and futures.
  1. W. A. Baxter, A.Rennie: Financial Calculus
  2. D. Lamberton, B. Lapeyre: Introduction to Stochastic Calculus Applied to Finance
  3. T. Bjork: Arbitrage Theory in Continuous Time
  4. J. Cvitanić, F. Zapatero: Introduction to the Economics and Mathematics of Financial Markets
  5. J. C. Hull: Options, Futures, and Other Derivative Securities, 5th edition
  6. I. Karatzas, S. Shreve: Brownian Motion and Stochastic Calculus, 2nd edition
  7. B. Oksendal: Stochastic Differential Equations, 6th edition
  8. N. H. Bingham, R. Kiesel: Risk - Neutral Valuation: Pricing and Hedging of Financial Derivatives
  9. M. Musiela, M. Rutkowski: Martingale Methods in Financial Modelling
  10. T. Mikosch: Elementary Stochastic Calculus -- With Finance in View
Prerequisit for:
Enrollment :
Passed : Financial modelling 1
4. semester
Mandatory course - Regular study - Financial and Business Mathematics
Consultations schedule: