Oct 22, 2020   11:46 a.m. Sergej

# Course syllabus D1-FM - Financial mathematics (FCE - 2020/2021 - post-graduate studies)

Information sheet          ECTS          Syllabus

Slovak          English

University:
Slovak University of Technology in Bratislava
Faculty:
Course unit code:
D1-FM
Course unit title:
Financial mathematics
Mode of delivery, planned learning activities and teaching methods:
 workshop 2 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 - 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.

Basic:
 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

Notes:

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. 3. 2020
Supervisor:
prof. RNDr. Karol Mikula, DrSc. and programme supervisor

Last modification made by Ing. Marián Dubík on 03/31/2020.

 Type of output: PDF output (PDF)Document RTF (RTF)XML format for IS (XML IL)