BPF_AFMT Financial Mathematics

Ekonomicko-správní fakulta
jaro 2021
Rozsah
2/2/0. 6 kr. Ukončení: zk.
Vyučující
Ing. Luděk Benada, Ph.D. (přednášející)
Ing. Dagmar Vágnerová Linnertová, Ph.D. (přednášející)
Garance
Ing. Luděk Benada, Ph.D.
Katedra financí – Ekonomicko-správní fakulta
Kontaktní osoba: Mgr. Jana Nesvadbová
Dodavatelské pracoviště: Katedra financí – Ekonomicko-správní fakulta
Rozvrh
Po 14:00–15:50 P312
  • Rozvrh seminárních/paralelních skupin:
BPF_AFMT/01: Čt 8:00–9:50 P312, L. Benada, D. Vágnerová Linnertová
Omezení zápisu do předmětu
Předmět je nabízen i studentům mimo mateřské obory.
Předmět si smí zapsat nejvýše 24 stud.
Momentální stav registrace a zápisu: zapsáno: 0/24, pouze zareg.: 0/24, pouze zareg. s předností (mateřské obory): 0/24
Mateřské obory/plány
Cíle předmětu
This course is an introduction to financial and actuarial mathematics. It introduces basic concepts and principles in finance and basic mathematical and statistical tools used by financial mathematicians and actuaries. Topics covered will include a selection from the following: compound interest and annuities, discounted cash-flow valuation, the term structure of interest rates, rate of return problems and basics of derivatives valuation.
The main objectives of the course are the following:
- understanding fundamentals of financial mathematics, understanding principles of interest and application of interest in fundamental areas of financial mathematics;
- applying acquired knowledge to the related areas which are not discussed within this course.
Výstupy z učení
Student will be able to:
- understand and apply the concept of time value of capital;
- make decisions on time-diverging cash flows;
- interpret an informative content of interest rate;
- apply variations of interest calculation: after-term and pre-term (linear, compound, exponential and combined);
- understand the value of real and nominal capital depending on the form of taxation and price level;
- effectivelly work with the annuities on which the whole field of finance is based;
- orient in the problems of depreciation and capital budgeting;
- process data usable for further financial analysis
- use basic distribution functions applicable in the field of finance
- apply binomial tree.
Osnova
  • Thematic plan – lectures:
  • 1. Introduction in Financial Mathematics
  • 2. The term structure of interest rates
  • 3. Simple Interest and Discount Interest
  • 4. Compound Interest
  • 5. Distinct form of interest calculation with respect to the interest period
  • 6. Discounted CF Applications
  • 7. Ordinary Annuities and Other Annuities Certain
  • 8. Debt Retirement Methods
  • 9. Investing in Stocks and Bonds from Financial Mathematics Perspectives
  • 10. Depreciation and Capital Budgeting, Advanced Topics in Annuities
  • 11. Probability Concepts
  • 12. Binomial Tree and Black - Schole Formula
  • Thematic plan - seminars:
  • 1.Introductory seminar (seminar work, condition of assessment, repetition of secondary school mathematics).
  • 2. Interest payed after and ahead, linear and exponencial interest.
  • 3. Combined interest, taxation and inflation.
  • 4. Real interest in the process of discrete and continuous calculation.
  • 5. Completion of interest calculation and repetition for the test.
  • 6. Test I.
  • 7. Ordinary Annuities and Other Annuities Certain
  • 8. Investing in Stocks and Bonds from Financial Mathematics Perspectives
  • 9. Depreciation and Capital Budgeting, Advanced Topics in Annuities
  • 10. Probability Concepts
  • 11. Common Probability Distributions
  • 12. Binomial Tree
Literatura
    povinná literatura
  • GUTHRIE, Gary a Larry LEMON. Mathematics of Interest Rates and Finance. Pearson New International Edition, 2013. ISBN 978-1-292-03983-1. info
    doporučená literatura
  • BUCHANAN, J. Robert. An undergraduate introduction to financial mathematics. 3rd ed. New Jersey: World Scientific, 2012, xviii, 464. ISBN 9789814407441. info
Výukové metody
lectures, during the seminars - solving of problems related to interest, savings, annuities and credits
Metody hodnocení
Form of the exam: written + oral
1. The progress test I and progress test II are written in the seminars (according to the time schedule of seminars). The absence in progress tests must be apologized by Information System and student is allowed to write extra test at individual day.
Each test consists of three problems of different difficulty and at most 5 points are granted per one problem (maximum 15 points per 1 test).
2. The final evaluation of results of work in the seminars: Points from progress tests (to pass students need to write each test for at least 60%) and minimum 70% attendance in the seminars.
Students who do not fulfill requirements about minimum percentage from progress tests could re-take it by one extra test containing problems from the whole course.
3. The exam and final evaluation (the exam has two parts – running, which consists of the in-term test I, in-term test II and the final oral exam - discussion about topics related with the course).
The final grade is comprised of two parts:
Points from two progress tests (max 30 points in total)
Oral exam (max 10 points)
Student knowledge will be assessed using the following grade range:
A= 92 – 100 %
B= 84 – 91 %
C= 76 – 83 %
D= 68 – 75 %
E= 60 – 67 %
F= less than 60 %
Important information! If student commits a prohibited act, such as usage of various forbidden tools, cribbing, taking out any part of the exam or any other cheating, teacher is allowed to interrupt an exam and to grade a student with F, FF or FFF according to the seriousness of the offence. Mentioned procedure relates to all the activities that are included to the final evaluation of the course (seminar work, essays, tests etc.).
Vyučovací jazyk
Angličtina
Další komentáře
Předmět je vyučován každoročně.
Předmět je zařazen také v obdobích jaro 2018, jaro 2019, jaro 2020, jaro 2022, jaro 2023, jaro 2024, jaro 2025.