MPM_FIM2 Financial Mathematics 2

Faculty of Economics and Administration
Autumn 2015
Extent and Intensity
1/2/0. 6 credit(s). Type of Completion: zk (examination).
Teacher(s)
RNDr. Václav Studený, Ph.D. (lecturer)
RNDr. Václav Studený, Ph.D. (seminar tutor)
Guaranteed by
RNDr. Luboš Bauer, CSc.
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
Tue 15:30–16:15 S315
  • Timetable of Seminar Groups:
MPM_FIM2/01: Tue 16:20–17:55 S315, V. Studený
Prerequisites
Basics of mathematical analysis and algebra
Course Enrolment Limitations
The course is offered to students of any study field.
The capacity limit for the course is 20 student(s).
Current registration and enrolment status: enrolled: 0/20, only registered: 0/20, only registered with preference (fields directly associated with the programme): 0/20
Course objectives
Students will be able to analyze products of financial markets. Students will be able to start tio studÿ stochastics models of financial markets.
Syllabus
  • The rate of growth, relative increments. Commodity markets The index of prices, rate of inflation Interest rate in financial mathematics Saving with the state donation, long term products Mortgages, supply of the market 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 Typical values, characteristic function, distributions, moments. Central limit theorem and its generalization. Stable distributions. Heavy tailed distribution. Fractal models.
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
  • MANDELBROT, Benoît B. Fraktály : tvar, náhoda a dimenze. 1. vyd. Praha: Mladá fronta, 2003, 206 s. ISBN 8020410090. 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
  • BLAKE, David. Analýza finančních trhů. 1. vyd. Praha: Grada, 1995, 623 pp. ISBN 8071692018. info
  • MACHÁČEK, Otakar. Finanční a pojistná matematika. 1.vyd. Praha: Prospektum, 1995, 213 pp. ISBN 8071750352. info
  • CIPRA, Tomáš. Pojistná matematika v praxi. 1. vyd. Praha: edice HZ, 1994, 273 pp. ISBN 8090149561. info
  • WALTER, Jaromír. Finanční a pojistná matematika. 1.vyd. Praha: VŠE, 1993, 166 pp. ISBN 8070794348. info
  • CIPRA, Tomáš. Finanční matematika v praxi. 1. vyd. Praha: HZ, 1993, 166 s. ISBN 80-901495-1-0. 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
lectures, class discussion, group projects, homeworks, reading (compulsory literature) written and oral exam
Language of instruction
Czech
Further comments (probably available only in Czech)
Study Materials
The course is taught annually.
Information on course enrolment limitations: max. 20 cizích studentů, cvičení pouze pro studenty ESF. Bude-li zapsaných studentů méně jak 6, předmět nebude otevřen.
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 2014.
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