Jul 18, 2019   11:45 a.m. Kamila
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Course syllabus D1-FM - Financial mathematics (FCE - 2018/2019 - post-graduate studies)


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University: Slovak University of Technology in Bratislava
Faculty: Faculty of Civil Engineering
Course unit title: Financial mathematics
Course unit code: D1-FM
Mode of completion and Number of ECTS credits: Exam-PhD (5 credits)
 
Name of lecturer: prof. RNDr. Karol Mikula, DrSc. (examiner, instructor, lecturer, person responsible for course, tutor) - slovak, english
 
Learning outcomes of the course unit:
The student will be familiar with modern models and analytical and numerical methods of derivative pricing.
 
Prerequisites and co-requisites: none
 
Course contents:
- Diffusion processes in financial mathematics, simulation of evolution of stock prices using computer.
- The Black-Scholes and Merton analysis and derivation of the equation for valuation of financial derivates.
- The non-linear generalization of the Black-Scholes equation.
- American options as free boundary problems.
- The equation for valuation of bonds in the stochastic development of interest rates.
- Models with stochastic volatility.
- Numerical methods of solution to the problems in financial mathematics.
 
Recommended or required reading:
Basic:
ŠEVČOVIČ, D. -- STEHLÍKOVÁ, B. -- MIKULA, K. Analytické a numerické metódy oceňovania finančných derivátov. Bratislava : STU v Bratislave, 2009. 200 p. ISBN 978-80-227-3014-3.
WILMOTT, P. -- HOWISON, S. -- DEWYNNE, J. Option Pricing: Mathematical models and computation. Oxford: Oxfor Financial Press, 1993.

 
Planned learning activities and teaching methods: seminar: 26 hours per semester (on-site method).
 
Assesment methods and criteria: exam
 
Language of instruction: Slovak, English
 
Work placement(s): There is no compulsory work placement in the course unit.


Last modification made by Ing. Peter Korčák on 10/31/2017.

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