Jul 20, 2019   9:25 a.m. Iľja
Academic information system

Course syllabus D1-FM - Financial mathematics (FCE - 2018/2019 - post-graduate studies)


     Information sheet          ECTS          Syllabus          


     Slovak          English          


University: Slovak University of Technology in Bratislava
Faculty: Faculty of Civil Engineering
Course unit code: D1-FM
Course unit title: Financial mathematics
Mode of completion and Number of ECTS credits: Exam-PhD (5 credits)
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.


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

Type of output: