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Stochastic Financial Models - NFAP012

Title:	Stochastické finanční modely
Form of teaching:	lecture
Guaranteed by:	Department of Probability and Mathematical Statistics (32-KPMS)
Faculty:	Faculty of Mathematics and Physics
Actual:	from 2018
Duration in semesters:	1
Semester:	winter
E-Credits:	3
Hours per week, examination:	winter s.:2/0, Ex [HT]
Capacity:	unlimited
Maximum number of enrolled students:	unlimited
Min. number of students:	unlimited
4EU+:	no
Virtual mobility / capacity:	no
State of the course:	cancelled
Language:	Czech
Teaching methods:	full-time
Repeated enrollment:	2 / 2 / 2 / 2

Guarantor:	prof. RNDr. Bohdan Maslowski, DrSc.
Classification:	Mathematics > Financial and Insurance Math.
Interchangeability :	NMFM505

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Annotation -

Basic concepts of stochastic analysis. Diffusion processes. Models of interest rate, yield curves. Black-Scholes model. Deflators. Applications to life insurance.

Last update: T_KPMS (23.05.2006)

Aim of the course -

To learn basic stochastic calculus and its applications in financial and insurance mathematics.

Last update: G_M (06.06.2008)

Literature - Czech

P. Mandl: Pravděpodobnostní dynamické modely. Academia, Praha, 1985

M. Baxter, A. Rennie: Financial Calculus. Cambridge University Press, Cambridge, 1996

Last update: Zakouřil Pavel, RNDr., Ph.D. (05.08.2002)

Teaching methods -

Lecture.

Last update: G_M (27.05.2008)

Syllabus -

Basic concepts of stochastic analysis. Diffusion processes. Girsanov theorem. Black-Scholes model. Models of random interest rates.

Last update: T_KPMS (05.05.2003)