Mathematical Models in Finance 1000-1D11MMF
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.
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Term 2023:
In the academic year 2023/24 the seminar will concentrate on the application of neural networks in computational finance. We will analyze the mathematical properties of neural algorithms used in the calibration of financial models and the pricing of contingent claims. The main topic of the seminar will be neural solutions of PDEs similar to the Black-Scholes equation. |
Term 2024:
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. |
Type of course
Prerequisites
Course coordinators
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 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
Bibliography
References will be given at the first meeting.
Additional information
Information on level of this course, year of study and semester when the course unit is delivered, types and amount of class hours - can be found in course structure diagrams of apropriate study programmes. This course is related to the following study programmes:
Additional information (registration calendar, class conductors, localization and schedules of classes), might be available in the USOSweb system: