Information sheet ECTS Syllabus
Course syllabus B1-FM - Financial mathematics (FCE - SS 2019/2020)
|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)|
|- 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.