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Mathematical Finance

General data

Course ID:	1000-1S11MF
Erasmus code / ISCED:	11.924 Kod klasyfikacyjny przedmiotu składa się z trzech do pięciu cyfr, przy czym trzy pierwsze oznaczają klasyfikację dziedziny wg. Listy kodów dziedzin obowiązującej w programie Socrates/Erasmus, czwarta (dotąd na ogół 0) – ewentualne uszczegółowienie informacji o dyscyplinie, piąta – stopień zaawansowania przedmiotu ustalony na podstawie roku studiów, dla którego przedmiot jest przeznaczony. / (0619) Information and Communication Technologies (ICTs), not elsewhere classified The ISCED (International Standard Classification of Education) code has been designed by UNESCO.
Course title:	Mathematical Finance
Name in Polish:	Matematyka finansowa
Organizational unit:	Faculty of Mathematics, Informatics, and Mechanics
Course groups:	Seminars for Mathematics
ECTS credit allocation (and other scores):	6.00 Basic information on ECTS credits allocation principles: the annual hourly workload of the student’s work required to achieve the expected learning outcomes for a given stage is 1500-1800h, corresponding to 60 ECTS; the student’s weekly hourly workload is 45 h; 1 ECTS point corresponds to 25-30 hours of student work needed to achieve the assumed learning outcomes; weekly student workload necessary to achieve the assumed learning outcomes allows to obtain 1.5 ECTS; work required to pass the course, which has been assigned 3 ECTS, constitutes 10% of the semester student load. view allocation of credits
Language:	English
Main fields of studies for MISMaP:	mathematics
Type of course:	elective seminars Ph. D. seminars
Prerequisites:	Introduction to Actuarial and Financial Mathematics 1000-135WMF Probability Theory II 1000-135RP2
Short description:	The seminar will deal with various both theoretical and practical topics of financial mathematics.
Full description:	Seminar main topics: 1. The applications of Value-at-Risk (VaR) and Conditional-Value-at-Risk (CVaR) in risk management. Coherent and convex risk measures. The connections between the theory of risk measures and actuarial mathematics. 2. The applications of copula theory in financial and actuarial mathematics. 3. Credit risk management. 4. The applications of extreme value theory in financial and actuarial mathematics. 5. Portfolio analysis.
Bibliography:	References will be given at the first meeting.
Learning outcomes:	(in Polish) Wiedza i umiejętności: 1. Zna wybrane modele matematyczne w zarządzaniu ryzykiem (wybór modeli zmienia się corocznie) 2. Umie konstruować model matematyczny korzystając z literatury finansowej i ubezpieczeniowej (również anglojęzycznej, na poziomie B2+). 3. Umie przygotować i wygłosić referaty o różnej długości i różnym stopniu ogólności
Assessment methods and assessment criteria:	(in Polish) Aktywny udział w zajęciach, wygłoszenie referatu.

Classes in period "Academic year 2023/24" (in progress)

Time span:	2023-10-01 - 2024-06-16	Selected timetable range: weekly course term Navigate to timetable MO TU W SEM-MON TH FR
Type of class:	Monographic seminar, 60 hours more information
Coordinators:	Jacek Jakubowski, Piotr Jaworski
Group instructors:	Jacek Jakubowski, Piotr Jaworski
Students list:	(inaccessible to you)
Examination:	Course - Grading Monographic seminar - Grading

Classes in period "Academic year 2024/25" (future)

Time span:	2024-10-01 - 2025-06-08	Selected timetable range: weekly course term Navigate to timetable
Type of class:	Monographic seminar, 60 hours more information
Coordinators:	Jacek Jakubowski, Piotr Jaworski
Group instructors:	Jacek Jakubowski, Piotr Jaworski
Students list:	(inaccessible to you)
Examination:	Course - Grading Monographic seminar - Grading

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