Information sheet ECTS Syllabus
Course syllabus D1-FM - Financial mathematics (FCE - 2018/2019 - post-graduate studies)
|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|
|- 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:|
|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.