15. 10. 2019  13:34 Terézia
Akademický informační systém

Sylabus předmětu B1-FM - Financial mathematics (FCE - SS 2019/2020)


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University: Slovak University of Technology in Bratislava
Faculty: Faculty of Civil Engineering
Course unit title: Financial mathematics
Course unit code: B1-FM
Mode of completion and Number of ECTS credits: Exam (4 credits)
 
Name of lecturer: Ing. Balázs Kósa (instructor)
prof. RNDr. Karol Mikula, DrSc. (examiner, instructor, lecturer, person responsible for course) - slovak, english
 
Learning outcomes of the course unit:
The student will be familiar with modern models and methods of financial mathematics such as hedging and derivative pricing.
 
Prerequisites and co-requisites: passed Numerical solutions of differential equations
 
Course contents:
- Discrete and continuous interest computing, relation with solving ordinary differential equations, pricing of bonds assuming deterministic development of interest rates.
- Diffusion processes in financial mathematics, simulation of evolution of stock prices.
- The Black-Scholes and Merton analysis and derivation of the equation for value of financial derivates.
- Numerical solution of problems in financial mathematics - financial trees and explicit schemes for solution of the Black-Scholes equation.
- American options as free boundary problems for the Black-Scholes equation. Numerical methods of valuation of American options.
- Implicit schemes of appraisal of financial derivates.
- The equation for valuation of bonds in the stochastic development of interest rates.
 
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.

Recommended:
Odporúčaná literatúra bude definovaná prednášajúcim

 
Planned learning activities and teaching methods: lecture 2 hours weekly / 24 hours per semester of study (on-site method)
seminar 2 hours weekly / 24 hours per semester of study (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 04/16/2019.

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