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Financial modelling 2

Code: 92988
ECTS: 5.0
Lecturers in charge: doc. dr. sc. Vanja Wagner
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 45
* Load is given in academic hour (1 academic hour = 45 minutes)
Description:
COURSE AIMS AND OBJECTIVES:
To explain mathematics of the fundamental Black-Scholes model and pricing within that model.

COURSE DESCRIPTION AND SYLLABUS:
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.
Literature:
Prerequisit for:
Enrollment :
Attended : Financial modelling 1

Examination :
Passed : Financial modelling 1
4. semester
Mandatory course - Regular study - Financial and Business Mathematics
Consultations schedule: