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MU:MU24008 Financial Mathematics - Course Information

## MU24008 Financial Mathematics

**Mathematical Institute in Opava**

Winter 2020

**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 **Timetable**- Mon 13:05–14:40 20
- Timetable of Seminar Groups:

*P. Nábělková* **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**- Applied Mathematics (programme MU, N1101)
- Mathematical Modelling (programme MU, NMgr-M)

**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**- T. Cipra.
*Matematika cenných papírů*. Praha, 2000. ISBN 80-86009-35-1. info - J.C. Hull.
*Options, futures and other derivates*. 2000. ISBN 0-13-022444-8. info

*required 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*- T. Cipra.
**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.

- Enrolment Statistics (recent)

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