Mathematical Models in Finance
General data
Course ID: | 1000-1D11MMF |
Erasmus code / ISCED: |
11.924
|
Course title: | Mathematical Models in Finance |
Name in Polish: | Modele matematyczne w finansach |
Organizational unit: | Faculty of Mathematics, Informatics, and Mechanics |
Course groups: |
Master seminars for Mathematics |
ECTS credit allocation (and other scores): |
6.00
|
Language: | English |
Type of course: | Master's seminars |
Prerequisites: | Introduction to Actuarial and Financial Mathematics 1000-135WMF |
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 2024/25" (past)
Time span: | 2024-10-01 - 2025-06-08 |
Go to timetable
MO TU W TH FR SEM-MGR
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Type of class: |
Second cycle diploma seminar, 60 hours
|
|
Coordinators: | Piotr Kowalczyk, Andrzej Palczewski | |
Group instructors: | Piotr Kowalczyk, Andrzej Palczewski | |
Students list: | (inaccessible to you) | |
Credit: | Pass/fail | |
Full description: |
In the academic year 2024/25, the seminar will concentrate on volatility models. The seminar aims to present new volatility models and methods of their calibration. In particular, we will discuss the application of neural nets to calibration problems. Calibration requires usually the solution of inverse problems that are as a rule not well-posed. Thus, to solve the calibration problem, we have to apply regularization. During the seminar, we will compare classical methods of calibration with methods employing neural nets. |
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