Information sheet ECTS Syllabus
Course syllabus B1-FM - Financial mathematics (FCE - SS 2018/2019)
|University:||Slovak University of Technology in Bratislava|
|Faculty:||Faculty of Civil Engineering|
|Course unit code:||B1-FM|
|Course unit title:||Financial mathematics|
|Mode of delivery, planned learning activities and teaching methods:|
|Recommended semester/trimester:||Mathematical and Computational Modeling - bachelor (compulsory), 6. semester|
|Level of study:||1.|
|Prerequisites for registration:||passed Numerical solutions of differential equations (B1-NRDR)|
|Correct elaboration of all given tasks.|
Minimum of 56 points obtained at the exam.
|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.|
|- 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:|
|Language of instruction:||slovak or english|
|Assessed students in total: 53|
|Name of lecturer(s):||Ing. Balázs Kósa (instructor)|
prof. RNDr. Karol Mikula, DrSc. (examiner, instructor, lecturer, person responsible for course) - slovak, english
|Last modification:||28. 2. 2019|
|Supervisor:||prof. RNDr. Karol Mikula, DrSc. and programme supervisor|
Last modification made by Ing. Peter Korčák on 02/28/2019.