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Introduction to Risk Management 2015/2016
(EKZ1129,
Organizational Management, WIZ)

Lecture: TUE 9-11 TN, 308 B1
Discussion class (1/2)
: THU 9-11 TN/TP, 417 B1

Students webpage ( Strona Studenci)


Final results and grades 
(updated 21.06.2017, 11:15)

Course grading:

Course grades are affected by three components. The contribution that each component makes to the final grade is given below:

40%
- Mid-term test
40%
- End-term test
20% - Discussion class activity

To pass the course students are required to:

score at least 45%
(3.5 from 55%, 4.0 from 65%, 4.5 from 75%, 5.0 from 85%, 5.5 from 95%)
score at least 44% (3.5 from 54%, 4.0 from 64%, 4.5 from 74%, 5.0 from 84%, 5.5 from 94%)


List of topics:

Date Lecture notes In-class 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 1-36) 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 37-61)
T07: Options [PDF 0.95 Mb] 
L07: Options [XLS 55 Kb]

Homework HW3: Solve problem 'Pr. Profit-loss' 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 Mid-term test (topics T5-T6) Sample problems for the mid-term 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 End-term test (topics T7-T8) 08.06.2017 TN >>> TP reverse swap
20.06.2017 Mid or end-term test retake

Students not satisfied with their result from the mid- and end-term 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 end-term) 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:

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

Homepage

Last modified on 2017-06-21.