Financial Market Mathematics - Prima parte (2008/2009)

Learning outcomes

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The first part of this module refers to the following topics:

1. Financial Markets and Financial Agents.
2. Definitions and Classifications of Financial Instruments: Bonds, Stocks, Forwards (Futures) and Options. Descriptions of features and undelying assets.
3. The Arbitrage Principle and Market Completeness. Definitions and Applications to: i) determine the Forward Price, ii) derive the Call—Put Parity, iii) study Options with different maturities, iv) compare European and American Options.
4. Some notions on how to use these derivatives, how to combine them and trading strategies.

Core Reading:

- John Hull, "Options, Futures, and Other Derivatives", Sixth Edition [Ch 1 excluding 1.4; Sections 2.10, 3.1, 5.1, 5.2, from 8.1 to 8.3 and 8.13, from 9.1 to 9.4, from 11.1 to 11.5 and 11.8]
- Marek Capinski and Tomasz Zastawniak, "Mathematics for Finance: An Introduction to Financial Engineering", Springer, ISBN 1-85233-330-8 [Chapters 1, 3 escluding section 3.3, 4, 6 excluding 6.2, 7 excluding 7.5, 8]
- Simon Benninga, "Financial Modeling", McGraw-Hill (chapters 13 and 14, optional)
- Notes from lectures

The final exam is based on a written exam paper and an oral examination.