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Some topics on insurance and financial mathematics - NMFM601

Title:	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 2014 to 2014
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:	taught
Language:	English
Teaching methods:	full-time
Teaching methods:	full-time

Guarantor:	prof. RNDr. Tomáš Cipra, DrSc. doc. RNDr. Ing. Miloš Kopa, Ph.D. prof. Ing. Miloslav Vošvrda, CSc.
Class:	Pravděp. a statistika, ekonometrie a fin. mat.
Classification:	Mathematics > Financial and Insurance Math.
Is interchangeable with:	NFAP040, NFAP041

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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.

Literature - Czech

Last update: prof. RNDr. Tomáš Cipra, DrSc. (04.01.2016)

Základní odborná literatura
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.

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.