MPM_FIM2 Financial Mathematics 2

Faculty of Economics and Administration
Autumn 2011
Extent and Intensity
1/2/0. 6 credit(s). Type of Completion: zk (examination).
Teacher(s)
RNDr. Václav Studený, Ph.D. (lecturer)
RNDr. Václav Studený, Ph.D. (seminar tutor)
Guaranteed by
RNDr. Luboš Bauer, CSc.
Department of Applied Mathematics and Computer Science – Faculty of Economics and Administration
Contact Person: Lenka Hráčková
Timetable
Tue 16:20–17:05 S305
  • Timetable of Seminar Groups:
MPM_FIM2/01: Tue 17:10–18:45 S305, V. Studený
Prerequisites
(! PMFMAA Financial Mathematics ) && (! PMFIMA Financial Mathematics )
Basics of mathematical analysis and algebra
Course Enrolment Limitations
The course is also offered to the students of the fields other than those the course is directly associated with.
The capacity limit for the course is 20 student(s).
Current registration and enrolment status: enrolled: 0/20, only registered: 0/20, only registered with preference (fields directly associated with the programme): 0/20
fields of study / plans the course is directly associated with
Course objectives
Students will be able to analyze products of financial markets. Students will be able to start tio studÿ stochastics models of financial markets.
Syllabus
  • The rate of growth, relative increments. Commodity markets The index of prices, rate of inflation Interest rate in financial mathematics Saving with the state donation, long term products Mortgages, supply of the market Computing examples with the program maple The cash flow and the internal interest rate The duration and the convexity Mean value in financial mathematics, general concept General concept of rate of growth, infinitesimal version, inverse rule Typical values, characteristic function, distributions, moments. Central limit theorem and its generalization. Stable distributions. Heavy tailed distribution. Fractal models.
Literature
  • BLAKE, David. Analýza finančních trhů. 1. vyd. Praha: Grada. 623 pp. ISBN 8071692018. 1995. info
  • MACHÁČEK, Otakar. Finanční a pojistná matematika. 1.vyd. Praha: Prospektum. 213 pp. ISBN 8071750352. 1995. info
  • CIPRA, Tomáš. Pojistná matematika v praxi. 1. vyd. Praha: edice HZ. 273 pp. ISBN 8090149561. 1994. info
  • WALTER, Jaromír. Finanční a pojistná matematika. 1.vyd. Praha: VŠE. 166 pp. ISBN 8070794348. 1993. info
  • CIPRA, Tomáš. Finanční matematika v praxi. 1. vyd. Praha: HZ. 166 s. ISBN 80-901495-1-0. 1993. info
Teaching methods
lectures, class discussion, group projects, homeworks, reading, drills
Assessment methods
lectures, class discussion, group projects, homeworks, reading (compulsory literature) written and oral exam
Language of instruction
Czech
Further comments (probably available only in Czech)
The course is taught annually.
General note: Nezapisují si studenti, kteří absolvovali předměty PMFMAA nebo PMFIMA, ale doporučuje se zapisovat těm studentům, kteří již absolvovali základní kurz matematiky.
Information on course enrolment limitations: max. 20 cizích studentů, cvičení pouze pro studenty ESF
The course is also listed under the following terms Autumn 2009, Autumn 2010, Autumn 2012, Autumn 2013, Autumn 2014, Autumn 2015.
  • Enrolment Statistics (Autumn 2011, recent)
  • Permalink: https://is.muni.cz/course/econ/autumn2011/MPM_FIM2