Předmět Financial Mathematics (MPM_FIMA)

Na serveru studentino.cz naleznete nejrůznější studijní materiály: zápisky z přednášek nebo cvičení, vzorové testy, seminární práce, domácí úkoly a další z předmětu MPM_FIMA - Financial Mathematics, Ekonomicko-správní fakulta, Masarykova univerzita (MU).

Materiál	Typ	Datum	Počet stažení

Cíl

Students will be able to analyze products of financial markets.Students will be able to start tio studÿ stochastics models of financial markets.Students will be able to start to studÿ fractal models of financial markets.

Osnova

Essential mathematicsexponential and logarithmic functions (grammar school knowledge).Inflationindex of pricesreal and nominal valuerate of inflation, average inflationreal value of free interest savingInterestof constant amountsplainpicevise constant, linearcompoundpicevise constant, picevise linear, exponentialof not constant amountssavingspensionsamortizationNotices about real cases (saving, leasing, bill, securities, share)The rate of growth, relative increments. Commodity marketsThe index of prices, rate of inflation.Stochastic modeling and fractal modelingInterest rate in financial mathematicsSaving with the state donation, long term productsMortgages, supply of the marketUsing the program mapleComputing examples with the program mapleThe cash flow and the internal interest rateThe duration and the convexityMean value in financial mathematics, general conceptGeneral concept of rate of growth, infinitesimal version, inverse ruleStochastics on financial marketsIntroduction to modelsStochastic characteristic of time seriesFractal modelingPower lawAnalyse of risk

Literatura

povinná literaturaMANDELBROT, Benoît B. a Richard L. HUDSON. The (mis)behavior of markets :a fractal view of financial turbulence. New York: Basic books, 2004. xxx, 328 s. ISBN 0465043577. infodoporučená literaturaSCHROEDER, Manfred R. Fractals, chaos, power laws :minutes from an infinite paradise. Mineola: Dover Publications, 2009. xviii, 429. ISBN 9780486472041. infoDUPAČOVÁ, Jitka a Jann HURT. Stochastic Modeling in economics and Finance. : Kluwert Academic Publishers, 2002. 386 s. ISBN 1402008406. infoMANDELBROT, Benoît B. Gaussian self-affinity and fractals :globality, the earth, 1/f noise, and R/S. Edited by Frederick J. Damerau. New York: Springer, 2001. ix, 654 s. ISBN 9780387989938. infoMANDELBROT, Benoît B. Multifractals and 1/f noise :wild self-affinity in physics (1963-1976). New York: Springer, 1998. viii, 442. ISBN 0387985395. infoMANDELBROT, Benoît B. Fractals and scaling in finance :discontinuity, concentration, risk. New York: Springer, 1997. x, 551 s. ISBN 0387983635. infoMANDELBROT, Benoit B. The fractal geometry of nature. Update and augmented. New York: W.H. Freeman, 1983. 468 s. ISBN 0-7167-1186-9. info

Garant

RNDr. Luboš Bauer, CSc.

Vyučující

RNDr. Václav Studený, Ph.D.