Information sheet ECTS Syllabus
Course syllabus D1-FM - Financial mathematics (FCE - 2018/2019 - post-graduate studies)
|University:||Slovak University of Technology in Bratislava|
|Faculty:||Faculty of Civil Engineering|
|Course unit code:||D1-FM|
|Course unit title:||Financial mathematics|
|Mode of delivery, planned learning activities and teaching methods:|
|Recommended semester/trimester:||Applied Mathematics - doctoral (semi-compulsory), 1. year|
Applied Mathematics (in english language) - doctoral (semi-compulsory), 1. year
|Level of study:||3.|
|Prerequisites for registration:||none|
|Correct elaboration of all given tasks, exam.|
|Learning outcomes of the course unit:|
|The student will be familiar with modern models and analytical and numerical methods of derivative pricing.|
|- 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.
|Recommended or required reading:|
|Language of instruction:||slovak and english or english|
|Assessed students in total: 0|
|Name of lecturer(s):||prof. RNDr. Karol Mikula, DrSc. (examiner, instructor, lecturer, person responsible for course, tutor) - slovak, english|
|Last modification:||31. 10. 2017|
|Supervisor:||prof. RNDr. Karol Mikula, DrSc. and programme supervisor|
Last modification made by Ing. Peter Korčák on 10/31/2017.