Course: Stochastics Processes and Modelling

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Course title Stochastics Processes and Modelling
Course code UMKM/PSPM
Organizational form of instruction Lecture + Lesson
Level of course Bachelor
Year of study not specified
Semester Winter
Number of ECTS credits 6
Language of instruction Czech
Status of course Compulsory
Form of instruction Face-to-face
Work placements This is not an internship
Recommended optional programme components None
Lecturer(s)
  • Papoušková Monika, Ing.
  • Šulista Milan, doc. RNDr. CSc.
  • Boháčová Hana, Mgr. Ph.D.
  • Heckenbergerová Jana, Mgr. Ph.D.
Course content
unspecified

Learning activities and teaching methods
Monologic (reading, lecture, briefing), Work with text (with textbook, with book), Methods of individual activities, Skills training
Learning outcomes

Students will be able to apply obtained skills in solving concrete mathematical, technical and economic problems.
Prerequisites
Supposes knowledge secondary mathematics to the extent of warps secondary school and inclusion from subject mathematical seminar.

Assessment methods and criteria
Written examination, Home assignment evaluation, Didactic test

Assignment - active participation in seminars and elaboration of engaged tasks. Passing written test with evaluation at least 40%. Examination - passing written test with evaluation at least 50%. The test consists of 4 calculus tasks and 5 theoretic questions.
Recommended literature
  • Cipra, Tomáš. Finanční a pojistné vzorce. Praha: Grada, 2006. ISBN 80-247-1633-X.
  • Lin, X. Sheldon. Introductory stochastic analysis for finance and insurance. Hoboken: Wiley-Interscience, 2006. ISBN 0-471-71642-1.
  • Rolski, Tomasz. Stochastic processes for insurance and finance. Chichester: John Wiley & Sons, 1999. ISBN 0-471-95925-1.
  • Stochastic modeling:. Theory and reality from an actuarial perspective. 1 st edition. Ottawa: Association Actuarielle Internationale, 2010. ISBN 978-0-9813968-1-1.
  • Zmeškal, Zdeněk. Finanční modely. Praha: Ekopress, 2004. ISBN 80-86119-87-4.


Study plans that include the course
Faculty Study plan (Version) Branch of study Category Recommended year of study Recommended semester
Faculty of Economics and Administration Management of Financial Risks (2015) Economy 3 Winter
Faculty of Economics and Administration Management of Financial Risks (2014) Economy 3 Winter
Faculty of Economics and Administration Management of Financial Risks (2013) Economy 3 Winter