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Mathematical Finance

General data

Course ID: 1000-1D11MF Erasmus code / ISCED: 11.924 / (0619) Information and Communication Technologies (ICTs), not elsewhere classified
Course title: Mathematical Finance Name in Polish: Matematyka finansowa
Department: Faculty of Mathematics, Informatics, and Mechanics
Course groups: Master seminars for Mathematics
ECTS credit allocation (and other scores): 6.00
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Language: English
Type of course:

Master's seminars

Short description:

The seminar will deal with various both theoretical and practical topics of financial mathematics.

Full description:

Seminar main topics:

1. The applications of Value-at-Risk (VaR) and Conditional-Value-at-Risk (CVaR) in risk management. Coherent and convex risk measures. The connections between the theory of risk measures and actuarial mathematics.

2. The applications of copula theory in financial and actuarial mathematics.

3. Credit risk management.

4. The applications of extreme value theory in financial and actuarial mathematics.

5. Portfolio analysis.

The subcjects of master theses will be theoretical as well as practical.

Bibliography:

References will be given at the first meeting.

Classes in period "Academic year 2018/19" (past)

Time span: 2018-10-01 - 2019-06-08
Choosen plan division:


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see course schedule
Type of class: Master's seminar, 60 hours more information
Coordinators: Piotr Jaworski, Jacek Micał
Group instructors: Piotr Jaworski, Jacek Micał
Students list: (inaccessible to you)
Examination: Course - Pass/fail
Master's seminar - Pass/fail

Classes in period "Academic year 2019/20" (future)

Time span: 2019-10-01 - 2020-06-10

Choosen plan division:


magnify
see course schedule
Type of class: Master's seminar, 60 hours more information
Coordinators: Piotr Jaworski, Jacek Micał
Group instructors: Piotr Jaworski, Jacek Micał
Students list: (inaccessible to you)
Examination: Course - Pass/fail
Master's seminar - Pass/fail
Course descriptions are protected by copyright.
Copyright by University of Warsaw.