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Finance lab

Code: 92989
ECTS: 4.0
Lecturers in charge: prof. dr. sc. Bojan Basrak - Lectures
Lecturers: doc. dr. sc. Hrvoje Planinić - Seminar

doc. dr. sc. Hrvoje Planinić - Exercises
English level:

1,0,0

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.
Load:

1. komponenta

Lecture typeTotal
Lectures 15
Exercises 45
Seminar 15
* Load is given in academic hour (1 academic hour = 45 minutes)
Description:
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).
Literature:
  1. J. W. Campbell, A. W. Lo, A. C. MacKinlay: The Econometrics of Financial Markets
  2. J. C. Hull: Futures, and Other Derivative Securities, 5th edition
  3. W. A. Baxter, A. Rennie: Financial Calculus
  4. P. Embrechts, C. Kluppelberg, and T. Mikosch: Modelling Extremal Events for Insurance and Finance
  5. G. S. Fishman: Monte Carlo: Concepts, Algorithms, and Applications
  6. P. E. Kloeden, E. Platen, H. Schurz: Numerical Solutions of SDE Through Computer Experiments
  7. J. P. Marques de Sa: Applied Statistics using SPSS, STATISTICA and MATLAB
  8. W. Shaw: Modelling Financial Derivatives with Mathematica
  9. S. R. Pliska: Introduction to Mathematical Finance: Discrete Time Models
Prerequisit for:
Enrollment :
Passed : Financial modelling 1
Passed : Statistics lab 1
4. semester
Mandatory course - Regular study - Financial and Business Mathematics
Consultations schedule:

Content

Link to the course web page: https://www.pmf.unizg.hr/math/predmet/finpra