MU24008 Financial Mathematics

Mathematical Institute in Opava
Winter 2014
Extent and Intensity
2/2/0. 6 credit(s). Type of Completion: zk (examination).
Teacher(s)
doc. RNDr. Karel Hasík, Ph.D. (lecturer)
doc. RNDr. Karel Hasík, Ph.D. (seminar tutor)
Guaranteed by
doc. RNDr. Karel Hasík, 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
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.
Literature
    recommended 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
Language of instruction
Czech
Further Comments
The course can also be completed outside the examination period.
The course is also listed under the following terms Winter 2009, Winter 2010, Winter 2011, Winter 2012, Winter 2013, Winter 2015, Winter 2016, Winter 2017, Winter 2018, Winter 2019, Winter 2020, Winter 2022, Winter 2023, Winter 2024.
  • Enrolment Statistics (Winter 2014, recent)
  • Permalink: https://is.slu.cz/course/sumu/winter2014/MU24008