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Course, academic year 2019/2020
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Some topics on insurance and financial mathematics - NMFM601
Title in English: Vybrané partie z pojišťovnictví a finanční matematiky
Guaranteed by: Department of Probability and Mathematical Statistics (32-KPMS)
Faculty: Faculty of Mathematics and Physics
Actual: from 2019
Semester: winter
E-Credits: 3
Hours per week, examination: winter s.:2/0 Ex [hours/week]
Capacity: unlimited
Min. number of students: unlimited
State of the course: taught
Language: Czech, English
Teaching methods: full-time
Guarantor: doc. RNDr. Ing. Miloš Kopa, Ph.D.
prof. RNDr. Tomáš Cipra, DrSc.
Class: Pravděp. a statistika, ekonometrie a fin. mat.
Classification: Mathematics > Financial and Insurance Math.
Annotation -
Last update: T_KPMS (25.04.2016)
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.
Aim of the course -
Last update: T_KPMS (06.05.2014)

The aim is to study and analyze advanced special problems of modern financial and insurance mathematics within doctoral studies.

Course completion requirements - Czech
Last update: doc. RNDr. Ing. Miloš Kopa, Ph.D. (12.10.2017)

Předmět je zakončen zkouškou, která má ústní podobu.

Literature - Czech
Last update: prof. RNDr. Tomáš Cipra, DrSc. (04.01.2016)
Základní odborná literatura
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

Doporučená odborná literatura
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.

Teaching methods -
Last update: T_KPMS (06.05.2014)

Lecture.

Requirements to the exam - Czech
Last update: doc. RNDr. Ing. Miloš Kopa, Ph.D. (12.10.2017)

Požadavky ke zkoušce odpovídají sylabu předmětu v rozsahu studované literatury.

Syllabus -
Last update: T_KPMS (06.05.2014)

Advanced econometric problems and financial processes.

Dynamic financial decision and optimization problems.

Modern methods of modelling, measuring and managing risks.

Entry requirements -
Last update: prof. RNDr. Tomáš Cipra, DrSc. (24.04.2018)

Only for doctoral study (PhD).

 
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