154-9529/01 – Numerické a simulační techniky s aplikacemi (NSTAa)

Gurantor departmentDepartment of FinanceCredits10
Subject guarantorprof. Ing. Tomáš Tichý, Ph.D.Subject version guarantorprof. Ing. Tomáš Tichý, Ph.D.
Study levelpostgraduateRequirementChoice-compulsory type B
YearSemesterwinter + summer
Study languageEnglish
Year of introduction2020/2021Year of cancellation
Intended for the facultiesEKFIntended for study typesDoctoral
Instruction secured by
LoginNameTuitorTeacher giving lectures
TIC02 prof. Ing. Tomáš Tichý, Ph.D.
Extent of instruction for forms of study
Form of studyWay of compl.Extent
Full-time Examination 28+0
Part-time Examination 28+0

Subject aims expressed by acquired skills and competences

The aim of the course is to present, explain and discuss the principles of basic as well as advanced numerical methods suitable to analyze financial, economics and business tasks.

Teaching methods

Lectures
Individual consultations

Summary

The aim of the course is to present, explain and discuss the principles of basic as well as advanced numerical methods suitable to analyze financial, economics and business tasks. The course covers stochastic processes, differential equations (ODE/SDE), Monte Carlo simulation, lattice methods, finite difference methods, finite elements methods, advanced numerical approaches, selected software packages and financial, economics, and business issues.

Compulsory literature:

BAEZ-LOPEZ, Jose Miguel David, BAEZ VILLEGAS, David Alfredo Baez Villegas. MATLAB Handbook with Applications to Mathematics, Science, Engineering, and Finance. Boca Raton: CRC Press, 2018. DUFFY, Daniel. Finite Difference Methods in Financial Engineering. New York: Wiley, 2006. OHSAKI, Shuichi, RUPPERT-FELSOT, Jori, YOSHIKAWA, Daisuke. R Programming and Its Applications in Financial Mathematics. Boca Raton: CRC Press, 2018.

Recommended literature:

NICOLAY, David. Asymptotic Chaos Expansions in Finance: Theory and Practice. Berlin: Springer, 2014. OKSENDAL, Bernt. Stochastic Differential Equations: An Introduction with Applications. Berlin: Springer, 2003. TOPPER, Jurgen. Financial Engineering with Finite Elements. Chichester: Wiley, 2005.

Way of continuous check of knowledge in the course of semester

Written and oral exam

E-learning

Other requirements

There are no additional requirements on students

Prerequisities

Subject has no prerequisities.

Co-requisities

Subject has no co-requisities.

Subject syllabus:

The course covers: 1. stochastic processes; 2. differential equations (ODE/SDE); 3. Monte Carlo simulation; 4. lattice methods; 5. finite difference methods; 6. finite elements methods; 7. advanced numerical approaches; 8. software packages; 9. financial, economics, and business issues.

Conditions for subject completion

Full-time form (validity from: 2020/2021 Winter semester)
Task nameType of taskMax. number of points
(act. for subtasks)
Min. number of points
Examination Examination  
Mandatory attendence parzicipation:

Show history

Occurrence in study plans

Academic yearProgrammeField of studySpec.ZaměřeníFormStudy language Tut. centreYearWSType of duty
2020/2021 (P0311D050020) Systems Engineering and Informatics K English Ostrava Choice-compulsory type B study plan
2020/2021 (P0311D050020) Systems Engineering and Informatics P English Ostrava Choice-compulsory type B study plan

Occurrence in special blocks

Block nameAcademic yearForm of studyStudy language YearWSType of blockBlock owner