The knowledge of Calculus and Linear Algebra together with probabilistic and statistical methods (including time series) as well as optimisation techniques within the framework of SOP and SO2 courses is required.
The basic concepts and models of financial problems are accompanied by the theory and simple examples.
1. Basic concepts, money, capital and securities.
2. Simple and compound interest rate, discounting.
3. Investments, cash flows and its measures, time value of money.
4. Assets and liabilities, insurance.
5. Bonds, options, futures, and forwards.
6. Exchange rates, inflation, indices.
7. Portfolio optimization - classical model.
8. Postoptimization, risk, funds.
9. Twostage models in finance.
10. Multistage models in finance.
11. Scenarios in financial mathematics.
12. Modelling principles, identification of dynamic data.
13. Discussion on advanced stochastic models.
1. Dupačová,J. et al.: Stochastic Models for Economics and Finance, Kluwer, 2003.
The course presents basic financial models. It focuses on main concepts and computational methods. Several lectures are especially developed to make students familiar with optimization models.