Numerical and simulation techniques with applications

Numerical and simulation techniques with applications
154-9529/01
angličtina

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.

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.

Advised 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.

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Language of instruction	angličtina
Code	154-9529
Abbreviation	NSTAa
Course title	Numerical and simulation techniques with applications
Coordinating department	Department of Finance
Course coordinator	prof. Ing. Tomáš Tichý, Ph.D.