Oct 18, 2019   2:03 p.m. Lukáš
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Course syllabus B1-FM - Financial mathematics (FCE - SS 2019/2020)

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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:
lecture2 hours weekly (on-site method)
seminar2 hours weekly (on-site method)

Credits allocated: 4
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)
Assesment methods:
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.
Course contents:
- 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:
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.

Odporúčaná literatúra bude definovaná prednášajúcim

Language of instruction: slovak or english
Courses evaluation:
Assessed students in total: 53

26,4 %13,2 %18,9 %24,5 %17,0 %0 %
Name of lecturer(s): Ing. Balázs Kósa (instructor)
prof. RNDr. Karol Mikula, DrSc. (examiner, instructor, lecturer, person responsible for course) - slovak, english
Last modification: 16. 4. 2019
Supervisor: prof. RNDr. Karol Mikula, DrSc. and programme supervisor

Last modification made by Ing. Peter Korčák on 04/16/2019.

Type of output: