On-line services of the University of Warsaw You are not logged in | log in
course directory - help

Mathematical Models in Finance

General data

Course ID: 1000-1D11MMF Erasmus code / ISCED: 11.924 / (0619) Information and Communication Technologies (ICTs), not elsewhere classified
Course title: Mathematical Models in Finance Name in Polish: Modele matematyczne w finansach
Department: Faculty of Mathematics, Informatics, and Mechanics
Course groups: Master seminars for Mathematics
ECTS credit allocation (and other scores): 6.00
view allocation of credits
Language: English
Type of course:

Master's seminars

Prerequisites:

Introduction to Actuarial and Financial Mathematics 1000-135WMF
Probability Theory II 1000-135RP2

Short description:

We will analyse various models of financial markets. We shall discuss not only theoretical properties of various models but also numerical aspects of pricing and hedging financial instruments.

Full description:

We will analyse various models of financial markets. We shall discuss not only theoretical properties of various models but also numerical aspects of pricing and hedging financial instruments.

Every year a new topic is chosen as the main topic of the year.

Bibliography:

References will be given at the first meeting.

Learning outcomes:

Knowledge ans skills:

1. know selected financial models;

2. design a mathematical model from a description in an economic style paper;

3. prepare a presentation of variable mathematical involvement;

4. prepare a critical report on an analyzed financial model.

Competence:

1. act and cooperate with experts in economy and finance;

Assessment methods and assessment criteria:

Active participation in the seminar, verbal presentation of selected papers,

I year – supervisor and topic of a master thesis

II year – submission of master thesis

Classes in period "Academic year 2020/21" (past)

Time span: 2020-10-01 - 2021-06-13
Choosen plan division:


magnify
see course schedule
Type of class: Master's seminar, 60 hours more information
Coordinators: Piotr Kowalczyk, Andrzej Palczewski
Group instructors: Piotr Kowalczyk, Andrzej Palczewski
Students list: (inaccessible to you)
Examination: Pass/fail
Notes: (in Polish)

Z seminarium jest powiązany kurs w Moodle (moodle.mimuw.edu.pl):

Modele matematyczne w finansach - seminarium (Mat) 20/21

Classes in period "Academic year 2021/22" (in progress)

Time span: 2021-10-01 - 2022-06-15
Choosen plan division:


magnify
see course schedule
Type of class: Master's seminar, 60 hours more information
Coordinators: Piotr Kowalczyk, Andrzej Palczewski
Group instructors: Piotr Kowalczyk, Andrzej Palczewski
Students list: (inaccessible to you)
Examination: Pass/fail
Full description:

In academic year 2021/22 the seminar will concentrate on incomplete markets. We will analyze option pricing in incomplete market. Illiquid markets will be also discussed, in particular pricing of weather derivatives and energy market derivatives. Since on incomplete markets the option prices are not uniquely defined we will analyze the problem how to compute a fair price. We will also discuss how to hedge options on incomplete market.

Course descriptions are protected by copyright.
Copyright by University of Warsaw.