ESF:MPM_FIMA Financial Mathematics

MPM_FIMA Financial Mathematics

Faculty of Economics and Administration
Autumn 2012

Extent and Intensity

1/2/0. 6 credit(s). Type of Completion: zk (examination).

Teacher(s)

Guaranteed by

Timetable

Wed 10:15–11:00 S301

MPM_FIMA/01: Wed 11:05–12:45 S301, V. Studený

Course Enrolment Limitations

The course is also offered to the students of the fields other than those the course is directly associated with.

fields of study / plans the course is directly associated with

Course objectives

Students will be able to analyze products of financial markets. Students will be able to start to studÿ stochastics models of financial markets.

Syllabus

Essential mathematics exponential and logarithmic functions (grammar school knowledge). Inflation index of prices real and nominal value rate of inflation, average inflation real value of free interest saving Interest of constant amounts plain picevise constant, linear compound picevise constant, picevise linear, exponential of not constant amounts savings pensions amortization Notices about real cases (saving, leasing, bill, securities, share) The rate of growth, relative increments. Commodity markets The index of prices, rate of inflation. Stochastic modeling and fractal modeling Interest rate in financial mathematics Saving with the state donation, long term products Mortgages, supply of the market Using the program maple Computing examples with the program maple The cash flow and the internal interest rate The duration and the convexity Mean value in financial mathematics, general concept General concept of rate of growth, infinitesimal version, inverse rule Stochastics on financial markets Introduction to models Stochastic characteristic of time series Fractal modeling

Literature

recommended literature

SCHROEDER, Manfred R. Fractals, chaos, power laws : minutes from an infinite paradise. Mineola: Dover Publications, 2009, xviii, 429. ISBN 9780486472041. info
MANDELBROT, Benoît B. and Richard L. HUDSON. The (mis)behavior of markets : a fractal view of financial turbulence. New York: Basic books, 2004, xxx, 328. ISBN 0465043577. info
DUPAČOVÁ, Jitka and Jann HURT. Stochastic Modeling in economics and Finance. Kluwert Academic Publishers, 2002, 386 pp. ISBN 1402008406. info
MANDELBROT, Benoît B. Gaussian self-affinity and fractals : globality, the earth, 1/f noise, and R/S. Edited by Frederick J. Damerau. New York: Springer, 2001, ix, 654. ISBN 0387989935. info
MANDELBROT, Benoît B. Multifractals and 1/f noise : wild self-affinity in physics (1963-1976). New York: Springer, 1998, viii, 442. ISBN 0387985395. info
MANDELBROT, Benoît B. Fractals and scaling in finance : discontinuity, concentration, risk. New York: Springer, 1997, x, 551. ISBN 0387983635. info
MANDELBROT, Benoit B. The fractal geometry of nature. Update and augmented. New York: W.H. Freeman, 1983, 468 s. ISBN 0-7167-1186-9. info

Teaching methods

lectures, class discussion, group projects, homeworks, reading, drills

Assessment methods

tests, project, oral exam

Language of instruction

English

Further comments (probably available only in Czech)

Study Materials
The course is taught annually.
General note: Nezapisují si studenti, kteří absolvovali předmětPMFMAA.