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Econometrics and financial processes modelling, Levy processes.
Dynamic financial decision problems, dynamic and stochastic programming problems.
Modern metods of risk measuring and managing.
A course for PhD students.
Last update: T_KPMS (25.04.2016)
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The aim is to study and analyze advanced special problems of modern financial and insurance mathematics within doctoral studies. Last update: T_KPMS (06.05.2014)
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The course is completed by an exam in the oral form. Last update: Kopa Miloš, doc. RNDr. Ing., Ph.D. (24.10.2019)
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T.Cipra: Riziko ve financích a pojišťovnictví: Basel III a Solvency II. Ekopress, Praha 2015
R. Cont, P. Tankov: Financial Modelling with Jump Processes. Chapman, 2004
H. Föllmer, A. Schied: Stochastic Finance: An Introduction in Discrete Time. Walter de Gruyter, 2002
A. J. McNeil, R. Frey, P. Embrechts: Quantitative Risk Management. Princeton University Press, 2005
G. Ch. Pflug, W. Römisch: Modeling, Measuring and Managing Risk. World Scientific, 2007
R. C. Merton: Continuous-Time Finance. John Wiley & Sons, 1992
A. Shapiro, D. Dentcheva , A. Ruszczyński : Lectures on stochastic programming. Modeling and theory. MPS/SIAM Series on Optimization 9, 2009.
M. V. Wüthrich, M. Mertz: Stochastic Claims Reserving Methods in Insurance. Wiley, Chichester 2008 Last update: Cipra Tomáš, prof. RNDr., DrSc. (04.09.2023)
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Lecture. Last update: T_KPMS (06.05.2014)
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The exam requirements correspond to the sylabus and studied literature. Last update: Kopa Miloš, doc. RNDr. Ing., Ph.D. (24.10.2019)
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Advanced econometric problems and financial processes. Dynamic financial decision and optimization problems. Modern methods of modelling, measuring and managing risks. Last update: T_KPMS (06.05.2014)
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Only for doctoral study (PhD). Last update: Cipra Tomáš, prof. RNDr., DrSc. (24.04.2018)
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