MF004 Mathematical Models in Finance

Faculty of Science
Autumn 2009
Extent and Intensity
2/0. 2 credit(s) (fasci plus compl plus > 4). Type of Completion: zk (examination).
Teacher(s)
Mgr. Martin Řezáč, Ph.D. (lecturer)
Guaranteed by
prof. RNDr. Ivanka Horová, CSc.
Department of Mathematics and Statistics – Departments – Faculty of Science
Timetable
Wed 10:00–11:50 M2,01021
Course Enrolment Limitations
The course is offered to students of any study field.
Course objectives
The main aim of the course is to teach students the basic methods of credit scoring models and some models from thory of portfolio.
Syllabus
  • Data mining
  • Organization of data
  • Exploratory analysis
  • Visualization of data, data transformations
  • Credit scoring
  • Evaluation of model
  • Cutoff setting
  • Portfolio teory - introduction
  • Markowitz model, CAPM, APT
Literature
  • ELTON, Edwin J. Modern portfolio theory and investment analysis. 7th ed. Hoboken, N.J.: John Wiley & Sons, 2007, xviii, 728. ISBN 9780470050828. info
  • ANDERSON, Raymond. The credit scoring toolkit : theory and practice for retail credit risk management and decision automation. 1st pub. Oxford: Oxford University Press, 2007, lvi, 731. ISBN 9780199226405. info
  • MELICHERČÍK, Igor, Ladislava OLŠAROVÁ and Vladimír ÚRADNÍČEK. Kapitoly z finančnej matematiky. [Bratislava: Miroslav Mračko, 2005, 242 s. ISBN 8080576513. info
  • GIUDICI, Paolo. Applied data mining : statistical methods for business and industry. Chichester: Wiley, 2003, xii, 364. ISBN 0470846798. info
  • THOMAS, L. C., David B. EDELMAN and Jonathan N. CROOK. Credit scoring and its applications. Philadelphia, Pa.: Society for Industrial and Applied Mathematics, 2002, xiv, 248. ISBN 0898714834. URL info
Teaching methods
lecture
Assessment methods
project, oral exam
Language of instruction
Czech
Further Comments
Study Materials
The course is taught once in two years.
The course is also listed under the following terms Autumn 2007 - for the purpose of the accreditation, Autumn 2011, Spring 2014, Spring 2016, spring 2018, Spring 2020, Spring 2022, Spring 2024.
  • Enrolment Statistics (Autumn 2009, recent)
  • Permalink: https://is.muni.cz/course/sci/autumn2009/MF004