Introduction to Risk Management
2015/2016
(EKZ1129, Organizational Management, WIZ)
Lecture: TUE 911 TN, 308 B1 Discussion class (1/2): THU 911 TN/TP,
417 B1

Students webpage ( Strona
Studenci)
Final results and grades
(updated 21.06.2017, 11:15)
Course
grading:
List
of topics:
Date 
Lecture
notes 
Inclass
assignments 
28.02.2017 11.03.2017 
L02: Time value
of money [Slides: PDF 700 Kb] T05: Securities
and portfolio theory [PDF 2.1 Mb]
See
also: [PDF 3.2 Mb] 
L02: Time value
of money [PDF 475 Kb] L05: Portfolio
theory [XLS 55 Kb]
Homework HW1:
Solve problems 'Pr. Port_M', 'Pr. MVP' and 'Pr. 3 assets' and
send in one XLS file <LastName_IndexNumber.xls> to my standard
PWr email address. Each correctly solved problem is worth 1%
(out of 20% for class activity) For TP group: due
11.03.2017, 24:00 For TN group: due 18.03.2017, 24:00 
28.03.2017 
T06: Forwards, futures and
swaps [PDF 1.8 Mb] (slides
136) 
L06: Forwards, futures and
swaps [XLS 55 Kb;
ver. 06.04.2017]
Homework HW2:
Solve problem 'Pr. Swap value (IRS)' and
send in an XLS file <LastName_IndexNumber.xls> to my standard
PWr email address. A correctly solved problem is worth 2%
(out of 20% for class activity) For TP group: due
11.04.2017, 24:00 For TN group: due
30.04.2017, 24:00 
11.04.2017 
T06 cont. (slides 3761) T07: Options [PDF
0.95 Mb] 
L07: Options [XLS 55 Kb]
Homework HW3:
Solve problem 'Pr. Profitloss' b, d, e and f and
send in an XLS file <LastName_IndexNumber.xls> to my standard
PWr email address. A correctly solved problem is worth 2%
(out of 20% for class activity) For TP group: due
23.04.2017, 24:00 For TN group: due
21.05.2017, 24:00 
09.05.2017 
Midterm
test (topics T5T6) 
Sample problems for the midterm test
[PDF 0.36 Mb]
18.05.2017 TP >>> TN swap 
23.05.2017 
T08: Option
pricing and binomial trees [PDF
1Mb] 
L08: Option pricing [XLS
35 Kb] 
06.06.2017 
Endterm test (topics
T7T8) 
08.06.2017 TN >>> TP reverse swap 
20.06.2017 
Mid or endterm test
retake 

Students not satisfied with their result
from the mid and endterm tests have a chance to change
it by retaking one of the tests. Note that the old score
will be replaced by the new one even if it is lower!
Students intending to retake one of the tests are
required to send an email (to my standard
<imie.nazwisko@pwr.edu.pl> address) specifying
which test (mid or endterm) they want to retake no
later than 17.06.2017.
Textbooks:
J. Franke, W.
Härdle, C. Hafner [FHH],
"Introduction to Statistics of Financial
Markets", Springer, 2005.
J.
Hull [Hull], "Options,
Futures and Other Derivatives (9th
Edition)", Prentice Hall, 2014. PPT slides.

Further reading:
 Z. Bodie, A. Kane,
A.J. Marcus, "Investments (10th ed.)",
McGrawHill, 2014.
 M. Capiñski, T.
Zastawniak, "Mathematics for Finance: An
Introduction to Financial Engineering",
Springer, 2003.
 P.Cizek, W.Härdle,
R.Weron (eds.), "Statistical Tools for
Finance and Insurance", SpringerVerlag,
Berlin, 2005.
 E.J. Elton, M.J.
Gruber, S.J. Brown, W.N. Goetzmann, "Modern
Portfolio Theory and Investment Analysis",
Wiley, 2002.
 F.J. Fabozzi,
"The Handbook of Fixed Income
Securities", McGrawHill, 2005.
 P. Jorion,
"Value at Risk (3rd Ed.)", McGrawHill,
2006.
 P. Wilmott,
"Paul Wilmott on Quantitative Finance",
Wiley, Chichester, 2000.
 ... and many, many
more
Homepage
Last modified on
20170621.
