Subjects

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Advanced Topics on Financial Mathematics - NMFM614

Title:	Pokročilé partie finanční matematiky
Guaranteed by:	Department of Probability and Mathematical Statistics (32-KPMS)
Faculty:	Faculty of Mathematics and Physics
Actual:	from 2023
Semester:	summer
E-Credits:	3
Hours per week, examination:	summer s.:2/0, Ex [HT]
Capacity:	unlimited
Min. number of students:	unlimited
4EU+:	no
Virtual mobility / capacity:	no
State of the course:	not taught
Language:	Czech
Teaching methods:	full-time
Teaching methods:	full-time

Guarantor:	doc. RNDr. Jan Večeř, Ph.D.
Class:	Pravděp. a statistika, ekonometrie a fin. mat.
Classification:	Mathematics > Financial and Insurance Math.
Is interchangeable with:	NSTP185

Annotation -

Last update: T_KPMS (25.04.2016)

Application of stochastic analysis in finance, advanced course for PhD students.

Aim of the course -

Last update: T_KPMS (07.05.2014)

In the first part of the semester we price American options and other

specialized derivative contracts, assuming the geometric Brownian motion

for the stock price. The goal of the second part is to explain jump

processes and apply Levy processes for modeling asset prices.

Literature - Czech

Last update: T_KPMS (07.05.2014)

Steven E. Shreve, Stochastic Calculus for Finance II

Phillip Protter, Stochastic Integration and Differential Equations

Michael Steele, Stochastic Calculus and Financial Applications

Teaching methods -

Last update: T_KPMS (07.05.2014)

Lecture.

Syllabus -

Last update: T_KPMS (07.05.2014)

Continuous and discontinuous martingales in financial mathematics.

Pricing under the risk neutral measure.

First and Second fundamental theorems of Asset pricing.

Feynman-Kac formula.

Optimal investment.

Term-Structure Models.

Duality principle in financial mathematics.

Lévy processes.