Financial Mathematics III
- Credits: 5
- Ending: Examination
- Range: 2P + 2C
- Semester: summer
- Year: 1
- Faculty of Economic Informatics
Teachers
Included in study programs
Teaching results
Completion of the course Financial Mathematics III presupposes the development of thinking in modern portfolio theory.
Knowledge
Progress in the field of new knowledge is evident after completing the course. Students will understand the construction and management of both equity and bond portfolios. They gain knowledge about the intrinsic value of assets and their properties. Using the methods described, students will learn to secure the appropriate portfolio with suitable securities derivatives.
Competences
Based on the acquired knowledge, students are able to take a position on the construction of the portfolio and its management. In conjunction with its participation in the portfolio of technical provisions, students will be able to choose a procedure and a financial derivative to hedge it against an undesirable decline.
Skills
As part of the educational process, they will acquire such skills that will enable students to implement the construction of a portfolio of securities, its management and determine the appropriate hedging strategy.
Indicative content
1. Types of financial markets, securities, decision criteria, historical and expected variables
2. Modern portfolio theory, optimization problems, risk aversion
3. CAPM model, CML and SML line, acceptable, efficient and optimal portfolio
4. Investment process, fundamental and technical analysis
5. Multi-factor model, arbitrage valuation model
6. Passive portfolio management, functions for portfolio management
7. Active management of the equity and bond portfolio
8. Characteristics of portfolio management, decomposition of total income
9. Asset portfolio management when matching with liabilities
10. Securing the equity portfolio with equity index futures contracts
11. Securing the bond portfolio with futures contracts for long-term interest rates
12. Hedging of the stock portfolio with options, delta hedging
13. Hedging strategies of the stock and the stock portfolio with options
Support literature
1. Blake, D.: Financial market analysis. John Wiley Sons, LTD, 2000. ISBN 0-471-87728-X
2. Pinda, Ľ.: Deriváty cenných papierov /Vybrané problémy/. IURA EDITION 2001. ISBN 80-88715-98-9
3. Hull, J. C.: Options, futures, and other derivative securities. 11-th Edition. Prentice-Hall International, Inc. 2018. ISBN-13: 978-0-13-6940104
4. Pinda, Ľ.: Finančná matematika investičných projektov. Bratislava: IURA EDITION, spol. s r.o. 2010, ISBN: 978-80-8078-319-8
Syllabus
1. Types of financial markets, securities, decision criteria, historical and expected variables 2. Modern portfolio theory, optimization problems, risk aversion 3. CAPM model, CML and SML line, acceptable, efficient and optimal portfolio 4. Investment process, fundamental and technical analysis 5. Multi-factor model, arbitrage valuation model 6. Passive portfolio management, functions for portfolio management 7. Active management of the equity and bond portfolio 8. Characteristics of portfolio management, decomposition of total income 9. Asset portfolio management when matching with liabilities 10. Securing the equity portfolio with equity index futures contracts 11. Securing the bond portfolio with futures contracts for long-term interest rates 12. Hedging of the stock portfolio with options, delta hedging 13. Hedging strategies of the stock and the stock portfolio with options
Requirements to complete the course
30% semester seminar work, resp. project,
70% written exam.
Student workload
Total study load (in hours): 156 hours
26 hours of lectures,
26 hours of exercise,
52 hours of self-study in preparation for the exam,
13 hours preparation for seminars,
13 hours preparation for written work.
Language whose command is required to complete the course
slovak
Date of approval: 11.03.2024
Date of the latest change: 15.05.2022