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Šifra:
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68986
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ECTS:
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4
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Lecturers in charge:
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Doc. dr. sc.
Igor Velčić
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Lecturers:
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Dr. sc.
Petra Posedel - Lectures
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Take exam:
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Studomat
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English level:
1,0,0
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All teaching activities will be held in Croatian. However, foreign students in mixed groups will have the opportunity to attend additional office hours with the lecturer and teaching assistants in English to help master the course materials. Additionally, the lecturer will refer foreign students to the corresponding literature in English, as well as give them the possibility of taking the associated exams in English.
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Load:
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| Lecture type | Total |
| Lectures |
45 |
* Load is given in academic hour (1 academic hour = 45 minutes)
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Description:
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The course introduces the concepts of both compounded and continuosly compounded interest, risk-free assets, term structure of interest rates and fixed income securities. The basics from stochastic calculus as a necessary instrument for quantitative analysis of financial markets, investment strategies, the concept of arbitrage and the funadamental theorem of finance are provided. Optimality in the sense of maximazing the rate of return, minimizing the variance in the rate of return and minimizing risk to the investor are explored. Effects of correlated movements in the values of investments are modelled and the Capital Asset Pricing Model (CAPM) is introduced. Models describing the price dynamics in both discrete time as the binomial model and continuous time as the model leading to the Black-Scholes formula are analyzed. The basics from option pricing and hedging are introduced.
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Literature:
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- Mathematics for Finance: An Introduction to Financial Engineering; M. Capiński and T. Zastawniak; Springer-Verlag; 2003; ISBN: 1852333308
- Options, Futures and Other Derivatives (6th Edition); John C. Hull; Prentice-Hall; 2005
- Introduction to Mathematical Finance: Discrete-Time Models; S. R. Pliska; Blackwell Publishers; 1997
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2. semester
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