Course for international guest/part time students
- Faculty
- Faculty of Science
- Organization
- TTK Department of Probability Theory and Statistics
- Code
- penzfo1u0um17em
- Title
- Financial processes 1 (l)
- Usual semester
- Spring
- Published semester
- 2025/26/2
- ECTS
- 3
- Language
- hu
- Learning outcomes
- Knowledge: getting familiar with the modern notions financial processes Ability: to understand and use financial processes Attitude: the need to extend the mathematical knowledge, to gain new analytic and applied programming skills Autonomy and Responsibility: based on the gained knowledge in financial processes, the students are able to decide which tools are the most suitable to solve applied problems
- Course content
- Option, warrant, swap. Stocks and bonds in discrete time. Binomial model. Arbitrage. Martingale measure. Self-financing strategies. Hedge. Cox-Ross-Rubinstein formula. Martingale measure. Completeness and martingale representation for binary market. European option pricing and the real price. American options in discrete time. Optimal stops. Arbitrage-freeness and the existence of martingale measure. Market completeness and the uniqueness of the martingale measure.
- Assessment method
- exam
- Bibliography
- lecture notes