Oct 19, 2019   7:37 a.m. Kristián
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Course syllabus D1-FM - Financial mathematics (FCE - 2019/2020 - post-graduate studies)

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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:
workshop2 hours weekly / 26 hours per semester of study (on-site method)

Credits allocated: 5
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
Assesment methods:
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.
Course contents:
- 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:
ŠEVČOVIČ, D. -- STEHLÍKOVÁ, B. -- MIKULA, K. Analytické a numerické metódy oceňovania finančných derivátov. Bratislava : STU v Bratislave, 2009. 200 p. ISBN 978-80-227-3014-3.
WILMOTT, P. -- HOWISON, S. -- DEWYNNE, J. Option Pricing: Mathematical models and computation. Oxford: Oxfor Financial Press, 1993.

Language of instruction: slovak and english or english
Courses evaluation:
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.

Type of output: