20. 9. 2019  7:13 Ľuboslav, Ľuboslava
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 code: B1-FM
Course unit title: Financial mathematics
Mode of completion and Number of ECTS credits: Exam (4 credits)
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.

Last modification made by Ing. Peter Korčák on 04/16/2019.

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