Numerical and simulation techniques with applications

Type of study	Doctoral
Language of instruction	Czech
Code	154-0929/01
Abbreviation	NSTA
Course title	Numerical and simulation techniques with applications
Credits	10
Coordinating department	Department of Finance
Course coordinator	prof. Ing. Tomáš Tichý, Ph.D.

Osnova předmětu

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.

Povinná literatura

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.

Doporučená literatura

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.

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