Slovene: Skripta pri predmetu Temelji finančnega inženiringa

Authors

Janko Marovt
University of Maribor, Faculty of Economics and Business
https://orcid.org/0000-0001-5325-4061

Keywords:

No-arbitrage principle, forward contract, futures contract, call option, put option, European option, American option, the binomal model, Cox-Ross-Rubinstein formula

Synopsis

Options, Forwards, Futures, and the Binomal Tree Model: Material for the course Fundamentals of Financial Engineering. The script "Options, forwards, futures, and the binomial tree model" is intended for the students of the course Fundamentals of financial engineering which is conducted at the Faculty of Natural Sciences and Mathematics. It presents basic concepts of financial engineering. The assumptions on which most of mathematical models that simulate the financial markets are first given. Proofs of propositions and theorems are based on the principle of no-arbitrage. Some derivative financial instruments are presented.  In the central part of the script, forward and futures contracts are first analyzed. The binomial tree model is next presented. This model is then used in the evaluation of European and American call and put options. The script is equipped with many solved examples.

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Author Biography

Janko Marovt, University of Maribor, Faculty of Economics and Business

Janko Marovt is an associative professor of mathematics at University of Maribor. He teaches at the Faculty of Economics and Business (EPF) and at the Faculty of Natural Sciences and Mathematics (FNM). His additional work and employment is at the Institute of Mathematics, Physics, and Mechanics (IMFM), Ljubljana. His research interests are functional analysis and linear algebra with applications. He is an author or coauthor of more than 35 research papers.

Maribor, Slovenia. E-mail: janko.marovt@um.si

Published

June 1, 2021

Details about the available publication format: Softback 15,00 EUR

Softback 15,00 EUR

COBISS.SI ID (00)

ISBN-13 (15)

978-961-286-472-9

Date of first publication (11)

2021-06-01

Physical Dimensions

21cm x 29.7cm x 0.8cm

How to Cite

Slovene: Skripta pri predmetu Temelji finančnega inženiringa. (2021). University of Maribor Press. https://doi.org/10.18690/978-961-286-472-9