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Subject data sheet

Quantitative Finance, Recitation Session

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Code: 2BE52NAK21M
Name: Quantitative Finance, Recitation Session
Number of hours per semester: 4 seminars in computer lab
Credits: 4
Fall/Spring: Fall
Language: Hungarian
Prerequisites: Invetments
Course type: Compulsary
Department: Befektetések és Vállalati Pénzügy Tanszék
A Course leader: Dr. Száz János

Course description: Overview and analysis of the main topics in quantitative finance and their financial, economic and mathematical aspects

Assessment, grading: homeworks 30 points
midterm test 40 points
final test 40 points

60 - 69 low pass
70 - 79 satisfactory
80 - 89 good
90 - excellent

Aims and objectives and description of the course: Main topics covered:
• Numerical methods: FDM, MC simulation, power method, Ito integral, Markov chains
• The market price of risk on stock, bond and derivative markets
• Asset pricing with non traded underlying product
• Hedging and speculating strategies with more risk factors, Hua He model
• Risk neutral probability measure, forward measure
• Interest rate risk, yield curves, Hull-White and Heath-Jarrow-Morton model
• FX-market assets, pricing and using quantos
• Correlation and volatility trading
• Asset pricing: exotic options, convertible bonds, swaps
• Financing corporate growth with interest rate and FX risk
• Profit, loss and psychology

Time of class: As indicated in Neptun

Learning outcomes: By the end of the semester students are able to use the studied mathematical and informatical methods to solve financial problems in the field of asset modelling and pricing.

Assignments: Homeworks

Bibliography:
Compulsory readings:

  • Medvegyev - Száz: A meglepetések jellege a pénzügyi piacokon (Jetset 2010) Chapters 1- 5.
  • Kahneman: Gyors és lassú gondolkodás (HVG, 2013) Chapters 15-24.
  • Baxter-Rennie: Pénzügyi kalkulus (Typotech 2002, 290 o)

Recommended readings:

  • Hull: Options, futures and other derivatives (Prentice Hall, 6. ed. 2006, 789 o)
  • CFA level II, Vol. 4 and 5 (Pearson 2008)
  • Wilmott: Quantitative Finance (Wiley, 2006)
  • C. Alexander: Market risk Analysis (Wiley, 2008)
Compulsory readings:
Recommended readings:

 
Instructors:

Dr. Száz János, Dömötör Barbara Mária, Vidovics-Dancs Ágnes

Last modification:

Courses

Course codeTypeSemesterInstructors
BPM2_KP_GGyakorlat2017/18/1Dr. Száz János, Dömötör Barbara Mária, Vidovics-Dancs Ágnes


A "Tantárgyfelelős tanszék", a tantárgyfelelős neve a tantárgy oktatói és a kurzusinformációk automatikusan frissülnek a tanulmányi rendszerünk alapján.