{"id":165,"date":"2014-10-02T16:15:26","date_gmt":"2014-10-02T14:15:26","guid":{"rendered":"http:\/\/home.agh.edu.pl\/~potorski\/?page_id=165"},"modified":"2018-01-10T20:08:53","modified_gmt":"2018-01-10T19:08:53","slug":"msf-pl","status":"publish","type":"page","link":"https:\/\/home.agh.edu.pl\/~potorski\/teaching\/msf-pl","title":{"rendered":"Modeling and Simulations in Finance (PL)"},"content":{"rendered":"
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Modelowanie i symulacje w finansach<\/h2>\n

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O przedmiocie<\/strong><\/p>\n

Przedmiot przeznaczony dla student\u00f3w II roku studi\u00f3w II stopnia na kierunku\u00a0Matematyka, specjalno\u015b\u0107 Matematyka Finansowa, Wydzia\u0142\u00a0Matematyki Stosowanej<\/span>. Semestr zimowy\u00a02017\/2018.<\/span><\/p>\n

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Syllabus oraz warunki zaliczenia przedmiotu<\/strong><\/p>\n

Syllabus kursu<\/a>
\nZasady zaliczenia<\/a><\/p>\n

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Tydzie\u0144 1<\/div><\/strong><\/h6>\n

Podstawy Visual Basic. Makra i funkcje.<\/p>\n

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Tydzie\u0144 2<\/div><\/strong><\/h6>\n

Opcje. Model Blacka Scholesa.<\/p>\n

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Tydzie\u0144 3<\/div><\/strong><\/h6>\n

Wycena opcji w modelu dwumianowy w Excel i VBA.<\/p>\n

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Tydzie\u0144 4<\/div><\/strong><\/h6>\n

Model Coxa-Rossa-Rubinsteina.<\/p>\n

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Tydzie\u0144 5<\/div><\/strong><\/h6>\n

Opcje na instrumenty wyp\u0142acaj\u0105ce dywidendy.<\/p>\n

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Tydzie\u0144 6<\/div><\/strong><\/h6>\n

Metoda Monte Carlo z wykorzystaniem drzew dwumianowych.<\/p>\n

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Tydzie\u0144 7<\/div><\/strong><\/h6>\n

Metoda Monte Carlo w modelu ci\u0105g\u0142ym. Generowanie zmiennych losowych z rozk\u0142adu normalnego.<\/p>\n

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Tydzie\u0144 8<\/div><\/strong><\/h6>\n

Metoda r\u00f3\u017cnic sko\u0144czonych EXPLICIT.<\/p>\n

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Tydzie\u0144 9<\/div><\/strong><\/h6>\n

Metoda\u00a0r\u00f3\u017cnic sko\u0144czonych EXPLICIT.<\/p>\n

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Tydzie\u0144 10<\/div><\/strong><\/h6>\n

Metoda r\u00f3\u017cnic sko\u0144czonych IMPLICIT.<\/p>\n

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Tydzie\u0144 11<\/div><\/strong><\/h6>\n

Metoda\u00a0r\u00f3\u017cnic sko\u0144czonych IMPLICIT.<\/p>\n

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Tydzie\u0144 12<\/div><\/strong><\/h6>\n

Podsumowanie metod r\u00f3\u017cnic sko\u0144czonych.<\/p>\n

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Projekt 1<\/div><\/strong><\/h6>\n

Zlecenie od banku – kredyt mieszkaniowy.<\/p>\n

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Projekt\u00a02<\/div><\/strong><\/h6>\n

Wycena opcji egzotycznych.<\/p>\n

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