MF004 Mathematical Models in Finance

Faculty of Science
Spring 2024
Extent and Intensity
2/0/0. 2 credit(s) (příf plus uk k 1 zk 2 plus 1 > 4). Type of Completion: zk (examination).
Teacher(s)
Mgr. Silvie Zlatošová, Ph.D. (lecturer)
Guaranteed by
doc. RNDr. Martin Kolář, Ph.D.
Department of Mathematics and Statistics – Departments – Faculty of Science
Supplier department: Department of Mathematics and Statistics – Departments – Faculty of Science
Timetable
Mon 19. 2. to Sun 26. 5. Tue 14:00–15:50 MP1,01014
Course Enrolment Limitations
The course is offered to students of any study field.
Course objectives
The aim of the course is
Introduction to various modeling approaches in finance.
Understanding the basic methods of model creation.
At the end of the course, the student will be able to
-- apply mathematical models to financial data.
-- present thoughtful arguments for financial decision-making of a specific insurance company, bank, or other financial institution.
Learning outcomes
The course graduate will be able to create a mathematical model for the provided data of a given financial institution. They will be able to interpret it and select the most suitable variants from several models.
Syllabus
  • Introduction to Modeling.
  • Linear Regression as the baseline model.
  • Classification models.
  • Model validation and bootstrapping.
  • Model selection.
  • Nonlinear models.
  • Machine learning methods.
Literature
  • JAMES, Gareth R., Daniela WITTEN, Trevor HASTIE and Robert TIBSHIRANI. An introduction to statistical learning : with applications in R. Second edition. New York: Springer, 2021, xv, 607. ISBN 9781071614174. info
  • KLUGMAN, Stuart A., Harry H. PANJER and Gordon E. WILLMOT. Loss models : from data to decisions. 4th ed. Hoboken, N.J.: John Wiley & Sons, 2012, xiv,511 s. ISBN 9781118315323. info
  • KLUGMAN, Stuart A. Bayesian statistics in actuarial science : with emphasis on credibility. Boston: Kluwer Academic Publishers, 2010, xii, 236. ISBN 9789048157907. info
  • DENUIT, Michel. Actuarial modelling of claim counts : risk classification, credibility and bonus-malus systems. Hoboken, N.J.: John Wiley & Sons, 2007, xxvii, 356. ISBN 9780470026779. info
  • PROMISLOW, S. David. Fundamentals of actuarial mathematics. Chichester: John Wiley & Sons, 2006, xix, 372. ISBN 0470016892. info
  • Modern actuarial risk theory. Edited by R. Kaas. Boston, Mass.: Kluwer Academic, 2002, xviii, 328. ISBN 0792376366. info
  • BOWERS, Newton L. Actuarial mathematics. 2nd ed. Schaumburg, Ill.: Society of Actuaries, 1997, xxvi, 753. ISBN 0938959468. info
Teaching methods
lectures, home assignments, data processing using R language
Assessment methods
Project processing, oral examination.
Language of instruction
Czech
Further comments (probably available only in Czech)
Study Materials
The course is taught once in two years.
Teacher's information
The lessons are usually in Czech or in English as needed, and the relevant terminology is always given with English equivalents.

The target skills of the study include the ability to use the Englis language passively and actively in their own expertise and also in potential areas of application of mathematics.

Assessment in all cases may be in Czech and English, at the student's choice.

The course is also listed under the following terms Autumn 2007 - for the purpose of the accreditation, Autumn 2009, Autumn 2011, Spring 2014, Spring 2016, spring 2018, Spring 2020, Spring 2022.
  • Enrolment Statistics (recent)
  • Permalink: https://is.muni.cz/course/sci/spring2024/MF004