PRICING AND PRICE FORECASTING - BMEGT35M107

The course starts with the introduction to martingale theory in the relation to discounting, elaborating the difference between yield, forward and zero-coupon curves. Then the course turns to practical problems, the pricing of financial products with interest rate sensitivity such as bonds, swaps and futures. Besides, the curse highlights the problem of discount curve calibration and connects the optimization problem to duration and convexity. In practice, we call this kind of exercise as ‘curve cooking’. The third part of the course gives insight into the different valuation adjustments (xVAs) used in the financial industry. Our primary goal is to familiarize students with the most important tools and to enable them to apply them individ-ually both in their studies and during their later work.

1. • martingales,
2. • pricing of linear interest rate products,
3. • ‘curve cooking’,
4. • calculation of valuation adjustments

1. plan and organize independent learning,
2. • comprehend and use the professional literature of the topic,
3. • using methods learn they could perform calculations to support decision-making

1. • is open to getting to know and adapting innovations in the financial field,
2. • collaborates with their instructors and others during the learning process,
3. • gains knowledge and information,
4. • uses the possibilities offered by IT tools.

1. The audience
2. • is open to accept constructive criticism,
3. • collaborates with others to solve problems during the learning process,
4. • could make prudent financial decision,

Lectures, written and oral communication, use of IT tools and techniques, optional tasks alone and in groups.

• 1. Az előadások prezentációinak anyaga, ami a félév során folyamatosan fog feltöltésre kerülni.
• 2. Hull, John C. Options futures and other derivatives
• 3. Baz, Jamil, and George Chacko.
• 4. Fujii, Masaaki, Yasufumi Shimada, and Akihiko Takahashi.
• 1. Material will be uploaded continously during the semester.
• 2. MateriHull, John C. Options futures and other derivatives
• 3. Baz, Jamil, and George Chacko.
• 4. Fujii, Masaaki, Yasufumi Shimada, and Akihiko Takahashi.

Assessment of the learning outcomes described under 2.2. is based on two written end-term tests.

Based on written end-term tests and homework.

The written tests can be retaken in the exam period.

Subject includes the topics detailed in the course syllabus to ensure learning outcomes listed under 2.2. can be achieved. Timing of the topics will be arranged by the calendar or other circumstances in each semester.