1. komponenta

Lecture type	Total
Lectures	60

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

1. Introduction to Stochastic Calculus Applied to Finance, D. Lamberton, B. Lapeyre, Chapmann&Hall, 1996.
2. Martingale Methods in Financial Modelling, M. Musiela, M. Rutkowski, Springer Verlag, 1997.
3. Stochastic Calculus for Finance I: The Binomial Asset Pricing Model, S. Shreve, Springer Verlag, 2004.
4. Stochastic Calculus for Finance II: Continuous Time Models, S. Shreve, Springer Verlag, 2004.
5. Financial Calculus, W. A. Baxter, A.Rennie, Cambridge University Press, 1996.
6. Risk - Neutral Valuation: Pricing and Hedging of Financial Derivatives, N. H. Bingham, R. Kiesel, Springer Verlag, 1998.
7. Arbitrage Theory in Continuous Time, T. Bjork, Oxford University Press, 1999.
8. Introduction to the Economics and Mathematics of Financial Markets, J. Cvitanić, F. Zapatero, MIT Press, 2004.
9. Stocahstic Finance: An Introduction in Discrete Time, H. Follmer, A. Schied, W. de Gruyter, 2002.
10. Options, Futures, and Other Derivative Securities, 5 th edition, J. C. Hull, Prentice Hall, 2002.
11. Brownian Motion and Stochastic Calculus, 2 nd edition, I. Karatzas, S. Shreve, Springer Verlag, 1991.

Enrollment :
Passed : Financial markets
Passed : Stochastic processes

Mandatory course - Regular study - Financial and Business Mathematics