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MU:MU24008 Financial Mathematics - Course Information

## MU24008 Financial Mathematics

**Mathematical Institute in Opava**

Winter 2010

**Extent and Intensity**- 2/2/0. 6 credit(s). Type of Completion: zk (examination).
**Guaranteed by**- doc. RNDr. Tomáš Kopf, Ph.D.

Mathematical Institute in Opava **Course Enrolment Limitations**- The course is also offered to the students of the fields other than those the course is directly associated with.
**fields of study / plans the course is directly associated with**- Applied Mathematics (programme MU, N1101)

**Course objectives**- The course introduces basic models of financial mathematics.
**Syllabus**- 1. Theory of interest.

2. Discrete probability.

3. Normal random variables and probability.

4. Arbitrage pricing theorem.

5. Random walks and Brownian motion.

6. Solutions of the Black-Scholes equation.

7. Black-Scholes option pricing model.

8. Hedging.

9. Portfolio optimization.

- 1. Theory of interest.
**Literature**- J. R. Buchanan.
*An Undergraduate Introduction to Financial Mathematics*. World Scientific, Singapore, 2006. info - T. Cipra.
*Praktický průvodce finanční a pojistnou matematikou*. Ekopress, Praha, 2005. info - T. Cipra.
*Finanční matematika v praxi*. HZ, Praha, 1993. ISBN 80-901495-1-0. info

*recommended literature*- J. R. Buchanan.
**Language of instruction**- Czech
**Further Comments**- The course can also be completed outside the examination period.

- Enrolment Statistics (Winter 2010, recent)
- Permalink: https://is.slu.cz/course/sumu/winter2010/MU24008