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Stochastic Analysis in Financial Mathematics - NSTP175

Title:	Stochastická analýza ve finanční matematice
Guaranteed by:	Department of Probability and Mathematical Statistics (32-KPMS)
Faculty:	Faculty of Mathematics and Physics
Actual:	from 2018
Semester:	winter
E-Credits:	3
Hours per week, examination:	winter s.:2/0, Ex [HT]
Capacity:	unlimited
Min. number of students:	unlimited
4EU+:	no
Virtual mobility / capacity:	no
State of the course:	cancelled
Language:	Czech
Teaching methods:	full-time

Guarantor:	Mgr. Karel Janeček, Ph.D.
Class:	DS, ekonometrie a operační výzkum
Classification:	Mathematics > Financial and Insurance Math.
Interchangeability :	NMFM535
Is co-requisite for:	NSTP075

Opinion survey results Examination dates Schedule Noticeboard

Annotation -

Black-Scholes model. Pricing of Options. The first and second fundamental theorems of mathematical finannce: The existence and uniqueness of the risk-neutral measure in relation to the existence of arbitrage and completness of the financial market. The Feynman-Kac theorem. Optimal Control - the problem of expected utility maximization. HJB equation approach (dynamic programming). Duality approach.

Last update: KJANECEK/MFF.CUNI.CZ (20.02.2008)

Aim of the course -

The goal of the course is to explain modeling of stock prices, option

pricing, and optimal control. In the first part of the semester we

analyze models in disrete time -- the binomial model for the stock

price. In the second part we model the stock price by assuming the

geometric Brownian motion.

Last update: G_M (27.05.2008)

Literature - Czech

Steven E. Shreve, Stochastic Calculus for Finance I

Steven E. Shreve, Stochastic Calculus for Finance II

Last update: G_M (01.06.2009)

Teaching methods -

Lecture.

Last update: G_M (27.05.2008)

Syllabus -

Black-Scholes model. Pricing of Options.

Optimal Control - the problem of expected utility maximization.

The first and second fundamental theorems of mathematical finannce.

Last update: KJANECEK/MFF.CUNI.CZ (20.02.2008)