Daniel Ševčovič:
Lectures on analytical and numerical methods for pricing financial derivatives
FMFI UK, 2011. 96 pages (in English)

Outline

Financial derivatives as tool for protecting volatile portfolios
Stochastic differential calculus, Ito lemma
Pricing European type of options - Black-Scholes model
Explicit and implicit schemes for pricing European type of options
Sensitivity analysis - dependence of the option price on parameters
Path dependent exotic options - Asian and barrier options
American type options - free boundary problems
Nonlinear extensions of the Black-Scholes theory and numerical approximation
Modeling of stochastic interest rates and interest rate derivatives
Appendix: Fokker-Planck equation and multidimensional Ito's lemma

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Daniel Ševčovič, Beáta Stehlíková, Karol Mikula:
Analytické a numerické metódy oceňovania finančných derivátov
Nakladateľstvo STU, Bratislava, 2009. 200 strán (in Slovak)
ISBN 978-80-227-3014-3

Knihu je možné zakúpiť/objednať (6.70 Eur) v predajni: Kníhkupectvo-vydavateľstvo JAGA, Budova Stavebnej fakulty STU, I. Karvaša 2, Bratislava (tel. 2/529 259 89), knihkupectvo@jaga.sk
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Department of Applied Mathematics and Statistics, Divison of Applied Mathematics
Faculty of Mathematics, Physics and Informatics
Comenius University
Mlynska dolina
842 48 Bratislava, Slovak republic
www.iam.fmph.uniba.sk/institute/sevcovic
e-mail:sevcovic@fmph.uniba.sk
Tel: + 421-2-654 24 000 Fax:+ 421-2-654 25 882