SylabUZ
| Course name | Modeling in Finance |
| Course ID | 11.5-WK-MATP-MF-L-S14_pNadGenO8E0Y |
| Faculty | Faculty of Mathematics, Computer Science and Econometrics |
| Field of study | Mathematics |
| Education profile | academic |
| Level of studies | First-cycle studies leading to Bachelor's degree |
| Beginning semester | winter term 2020/2021 |
| Semester | 6 |
| ECTS credits to win | 7 |
| Course type | optional |
| Teaching language | polish |
| Author of syllabus |
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| The class form | Hours per semester (full-time) | Hours per week (full-time) | Hours per semester (part-time) | Hours per week (part-time) | Form of assignment |
| Laboratory | 45 | 3 | - | - | Credit with grade |
| Lecture | 30 | 2 | - | - | Exam |
Knowledge of foundations of financial institutions, capital markets and methods of their products modeling.
Probability theory, introduction to financial mathematics.
Lectures:
1. Least squares method, linear financial time series and their applications In financial data analysis.
2. Risk modeling: different kinds of risks, financial risk, financial instruments, risk determinants, measures of risk, VAR, covariance methods, historical simulation method, simulation of scenario method.
3. Models for rate of return, volatility.
4. Blacka-Scholesa model and options pricing, historical and implied volatility.
5. Examples of egzotic options and their applications.
6. Modeling of demografic parameters: survival models, life time tables and parameters.
7. Models of insurance risk: principles of insurance premium calculations.
8. Models of insurances: risk process, reserves and Lundberg’s model.
9. Ruin probabilisty.
Laboratory:
1. Simulations of continuous financial models.
2. Analysis of Real Word data using mathematical software packages.
Lectures and computer laboratory analysis.
| Outcome description | Outcome symbols | Methods of verification | The class form |
Evaluation of individual exercises, final exam and grade.
1. W. Ronka-Chmielowiec, Ryzyko w ubezpieczeniach-metody oceny, AE, Wrocław, 1997.
2. M. Dobija, E. Smaga, Podstawy matematyki finansowej i ubezpieczeniowej, WNT, Warszawa, 1996.
3. J. Hull, Kontrakty Terminowe i Opcje.Wprowadzenie, WIG-press, Warszawa, 1997.
4. J. Jakubowski, Modelowanie Rynk闚 Finansowych, Script, Warszawa, 2006.
5. E. Nowak (red.), Matematyka i statystyka finansowa, Fundacja Rozwoju Rach., Finanse, Warszawa, 1994.
6. P. Brandimarte, Numerical Methods in Finance and Econometrics. A MATLAB Based.
7. A.N. Shiryaev, Essentials of Stochastic Finance, Facts, Models, Theory, World Scientific, 1999.
1. J. Jakubowski, A. Palczewski, M. Rutkowski, L. Stettner, Matematyka Finansowa, Instrumenty Pochodne, WNT, Warszawa, 2003.
2. Janicki, A Izydorczyk, Komputerowe Metody w Modelowaniu Stochastycznym, WNT, Warszawa, 2001.
3. M. Podgórska, J. Klimkowska, Matematyka Finansowa, PWN, 2005.
Modified by dr Alina Szelecka (last modification: 18-09-2020 13:45)
