Informačný list ECTS Sylabus
Sylabus předmětu B1-FM - Financial mathematics (FCE - SS 2019/2020)
|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|
|- 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:|
|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.