- Unit Coordinator: Maciej Sablik
- ECTS Credits: 6
- Semester: 2
- Year: 2
- Campus: University of Silesia in Katowice
- Language: English
- Content:
In our lecture we present an introduction to the mathematics of finance, and in particular the models with discrete time. We are going to discuss, among others, the following questions: mathematical finance in one period, the fundamental theorem of asset pricing, the multi-period market model, arbitrage opportunities and martingale measures, binomial trees and the CRR model, introduction to optimal stopping and American options, risk measures, indifference valuation and optimal derivative design, optimal risk transfer in principal agent games, bonds and contracts for bonds, contracts swap and swaptions, contracts cap and loor, models with infinite set of simple events.
- Reading list:
The lecture will be based on a book by Stanley R. Pliska Introduction to Mathematical Finance: Discrete Time Models, Blackwell Publishing Ltd, Oxford 2004.
- Programme: RealMaths
- ECTS Credits: 3
- Semester: 2
- Year: 2
- Campus: Claude Bernard University Lyon 1
- Content:
– Epidemiology
– Theoretical evolutionary biology
– Cellular dynamics and complex systems
– Modelling in spatial ecology
- Programme: RealMaths
- ECTS Credits: 3
- Semester: 2
- Year: 2
- Campus: Claude Bernard University Lyon 1
- Content:
– Risk assessment modelling and climate change
– Equations of fluid mechanics and their numerical approximations
– Modelling in spatial ecology
– Graphs and ecological networks
- Programme: RealMaths
- ECTS Credits: 3
- Semester: 2
- Year: 2
- Campus: Claude Bernard University Lyon 1
- Content:
– Geometrical approaches for images and shapes.
– Variational methods for inverse problems in medical imaging.
– Sparsity and high dimension
– Neural networks
