MPM_FIMA Financial Mathematics

Faculty of Economics and Administration
Autumn 2014
Extent and Intensity
1/2/0. 6 credit(s). Type of Completion: zk (examination).
Teacher(s)
RNDr. Václav Studený, Ph.D. (lecturer)
Guaranteed by
RNDr. Václav Studený, Ph.D.
Department of Applied Mathematics and Computer Science – Faculty of Economics and Administration
Contact Person: Lenka Hráčková
Supplier department: Department of Applied Mathematics and Computer Science – Faculty of Economics and Administration
Timetable
Wed 10:15–11:00 S301
  • Timetable of Seminar Groups:
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. Students will be able to start to studÿ fractal 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 Fractal modeling Power law Analyse of risk
Literature
    required literature
  • 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
    recommended literature
  • SCHROEDER, Manfred R. Fractals, chaos, power laws : minutes from an infinite paradise. Mineola: Dover Publications, 2009, xviii, 429. ISBN 9780486472041. 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)
The course is taught annually.
General note: Nezapisují si studenti, kteří absolvovali předmětPMFMAA.
Information about innovation of course.
This course has been innovated under the project "Inovace studia ekonomických disciplín v souladu s požadavky znalostní ekonomiky (CZ.1.07/2.2.00/28.0227)" which is cofinanced by the European Social Fond and the national budget of the Czech Republic.

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The course is also listed under the following terms Autumn 2009, Autumn 2010, Autumn 2011, Autumn 2012, Autumn 2013, Autumn 2015.
  • Enrolment Statistics (Autumn 2014, recent)
  • Permalink: https://is.muni.cz/course/econ/autumn2014/MPM_FIMA