SubjectsSubjects(version: 953)
Course, academic year 2023/2024
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Mathematics in Finance - NMFM331
Title: Matematika ve financích
Guaranteed by: Department of Probability and Mathematical Statistics (32-KPMS)
Faculty: Faculty of Mathematics and Physics
Actual: from 2023
Semester: summer
E-Credits: 5
Hours per week, examination: summer s.:2/2, C+Ex [HT]
Capacity: unlimited
Min. number of students: unlimited
4EU+: no
Virtual mobility / capacity: no
State of the course: taught
Language: Czech
Teaching methods: full-time
Teaching methods: full-time
Guarantor: doc. RNDr. Jan Večeř, Ph.D.
Class: M Bc. OM
M Bc. OM > Povinně volitelné
M Bc. OM > Zaměření STOCH
Classification: Mathematics > Financial and Insurance Math.
Is incompatible with: NFAP022, NMFM307, NMFM207, NMFM203
Is interchangeable with: NFAP022
Annotation -
Financial instruments. Theory of interest rates and cashflows. Risk measures. Methods for evaluation of financial investments. Recommended for specialization Stochastics within General Mathematics.
Last update: G_M (15.05.2012)
Aim of the course -

To explain fundamentals of financial mathematics.

Last update: G_M (24.04.2012)
Course completion requirements -

Class attendance during the semester, the last class being mandatory.

Last update: Večeř Jan, doc. RNDr., Ph.D. (13.10.2017)
Literature - Czech

Mc Cutcheon, J.J., Scott, W.F.: An Introduction to the Mathematics of Finance. Butterworth - Heinemann, Oxford, 2004.

Dupačová, J., Hurt, J., Štěpán, J.: Stochastic Modelling in Economics and Finance. Kluwer, Dordrecht, 2002.

Blake, D.: Analýza finančních trhů. Grada, Praha 1995

Cipra, T.: Finanční matematika v praxi. HZ, Praha, 1993.

Cipra, T.: Matematika cenných papírů. Professional Publishing, Praha, 2013.

Cipra, T.: Finanční a pojistné vzorce. Grada, Praha, 2006.

Garrett, S. J.: An Introduction to the Mathematics of Finance. A Deterministic Approach. Butterworth, Heinemann, Oxford, 2013.

Jelenová, K.: Sbírka úloh z finanční matematiky. Bc práce, MFF UK, 2009.

Last update: T_KPMS (20.10.2014)
Teaching methods -

Lecture+exercises.

Last update: T_KPMS (16.05.2012)
Requirements to the exam -

A written final exam covering the topics listed in the syllabus.

Last update: Večeř Jan, doc. RNDr., Ph.D. (13.10.2017)
Syllabus -

Financial instruments. Theory of interest rates and cashflows. Risk measures. Methods for evaluation of financial investments. Portfolio theory.

Last update: Zichová Jitka, RNDr., Dr. (06.09.2013)
 
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