Computer-aided (financial) mathematics

General data

Course ID:	1000-1S08MPK
Erasmus code / ISCED:	11.924 The subject classification code consists of three to five digits, where the first three represent the classification of the discipline according to the Discipline code list applicable to the Socrates/Erasmus program, the fourth (usually 0) - possible further specification of discipline information, the fifth - the degree of subject determined based on the year of study for which the subject is intended. / (0619) Information and Communication Technologies (ICTs), not elsewhere classified The ISCED (International Standard Classification of Education) code has been designed by UNESCO.
Course title:	Computer-aided (financial) mathematics
Name in Polish:	Matematyka (finansowa) przy komputerze
Organizational unit:	Faculty of Mathematics, Informatics, and Mechanics
Course groups:	Seminars for Mathematics
ECTS credit allocation (and other scores):	(not available) Basic information on ECTS credits allocation principles: the annual hourly workload of the student’s work required to achieve the expected learning outcomes for a given stage is 1500-1800h, corresponding to 60 ECTS; the student’s weekly hourly workload is 45 h; 1 ECTS point corresponds to 25-30 hours of student work needed to achieve the assumed learning outcomes; weekly student workload necessary to achieve the assumed learning outcomes allows to obtain 1.5 ECTS; work required to pass the course, which has been assigned 3 ECTS, constitutes 10% of the semester student load. view allocation of credits
Language:	English
Type of course:	elective seminars
Short description:	The seminar will consist of two fairly independent parts, one of them (led by G. Filipuk) will be devoted to general mathematics, the other (by A. Kozłowski) to financial mathematics. The seminar will begin with a 2-week intensive general introduction to doing mathematics with computer algebra systems and, in particular, the most widely used one, Mathematica. After the initial period the groups will separate, although for some time will work on similar subjects.
Full description:	The seminar will consist of three parts. The first one, given by Galina Filipuk, will be held from the beginning of October until mid January, and will be devoted to a general study of computer algebra and in particular Mathematica as a tool for doing mathematics. Thus it will involve both the study of the Mathematica programming language, particularly the use of functional and pattern-based programming (which is unlike that in most familiar procedural languages such as Java or C), as well as various mathematical examples in which computers cna be used effectively. Particular attention will be paid to mathematical and programming techniques which will be useful in the second part of the course devoted to financial mathematics. However, the first part of the seminar will be largely independent of the second and, in particular, will not require any knowledge of finance. The second part of the seminar, which will be held during the period mid January - beginning of April and given by Andrzej Kozłowski, will concentrate on applying Mathematica to modeling financial derivatives. Finally, the third and last part of the course, roughly from the eginning of April till the end of the Summer term, will be conducted over the Internet and consist mainly of the students solving assigned homework problems based on the second part. More details can be found at http://www.mimuw.edu.pl/~akoz/Finance/index.html.
Bibliography:	For all parts: demonstrations and documentation at www.wolfram.com Any introductory book to Mathematica For the financial part: William Shaw, Modelling Financial Derivatives with Mathematica (1999 Cambridge University Press ) More will be specified at the seminar.

This course is not currently offered.

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Copyright by University of Warsaw.