MU24008 Financial Mathematics

Mathematical Institute in Opava
Winter 2019
Extent and Intensity
2/2/0. 6 credit(s). Type of Completion: zk (examination).
Teacher(s)
doc. RNDr. Karel Hasík, Ph.D. (lecturer)
RNDr. Petra Nábělková, Ph.D. (seminar tutor)
Guaranteed by
doc. RNDr. Karel Hasík, Ph.D.
Mathematical Institute in Opava
Prerequisites (in Czech)
TYP_STUDIA ( N )
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 (probably available only in Czech)
Study Materials
The course can also be completed outside the examination period.
Teacher's information
Attendance at lectures is recommended. In the introductory lesson, students will be informed about the requirements of lecturers for successful completion of the subject.
Credit: 60 to 70% points from written tests during the semester; the specific value is determined by the lecturer according to the difficulty of individual test
Exam: It consists of a written and an oral part. The requirements for successful completion of the written part will be determined by the lecturer so that they correspond to the level of requirements placed on students during the semester. Upon successful completion of the written part, students will be examined verbally, emphasizing the theoretical part of the lectured subject.
The course is also listed under the following terms Winter 2009, Winter 2010, Winter 2011, Winter 2012, Winter 2013, Winter 2014, Winter 2015, Winter 2016, Winter 2017, Winter 2018, Winter 2020.
  • Enrolment Statistics (Winter 2019, recent)
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