Course for international guest/part time students
- Faculty
- Faculty of Science
- Organization
- TTK Department of the Physics of Complex Systems
- Code
- dsfinriskf20em
- Title
- The Theory of Financial Risks
- Usual semester
- Spring
- Published semester
- 2025/26/2
- ECTS
- 4
- Language
- en
- Learning outcomes
- To develop competences in modeling financial processes. The participants develop skills to work in interdisciplinary teams working in the area of finances. a) Knowledge: At the system level and in its context, he/she knows the comprehensive theoretical and practical knowledge of the main topics of theory of finances. He/she is aware of the possible directions and limits of theory of finances. He/she has a high level of scientific knowledge and knowledge of the elements of practice based on it and is able to systematize them. In its context, he/she has an overview of the researchable processes, systems, and scientific problems of theory of finances. He/she is familiar with the terminology describing the processes of theory of finances, and has an extensive knowledge about the literature of this field. b) Abilities: Able to participate in the work of research groups conducting basic and applied physical research in theory of finances. With regular professional self-education, he/she is able to process new scientific results in theory of finances and apply them creatively in his work. Able to formulate scientific questions related to theory of finances and related fields. Able to continuously increase his/her knowledge and continue his/her studies in doctoral school. c) Attitude: He/she is characterized by creativity, flexibility, problem recognition and solution skills, intuition, methodicality and data processing skills. He/she seeks to learn about new achievements in theory of finances and to apply them as widely as possible. In his/her field, he/she distinguishes between scientifically substantiated and unsubstantiated claims. He/she actively cooperates with his/her colleagues, participates in group work in a constructive way, and performs managerial tasks in case of proper practice. He/she formulates the problems of theory of finances professionally for both professionals and lay people. He/she is constantly striving to expand his/her knowledge and acquire new skills. d) Autonomy and responsibility: With a high level of theory of finances knowledge and a critical and systemic mindset, he/she works responsibly with professionals in his/her narrower field, as well as in other disciplines. He/she is aware of the importance of scientific thinking and accurate conception, and he/she formulates his/her opinion taking these into account.
- Course content
- Financial world, market participants, their economic role, their strategies. Basic market products, basic concepts of pricing. Pricing of derivatives, stochastic processes, stochastic calculus, Wiener process and its properties, martingales, Ito-lemma and its applications. The role of random processes in financial modeling. Black-Scholes model. Implied volatility. Credit system, the role of the central bank. Bonds and their pricing. Deposits, Libor, futures contract. Bankruptcy risk, bankruptcy modeling (loss given default, recovery, probability of bankruptcy). Corporate bonds, CDS, Credit Indexes, CDO. Exotic derivatives and structured products, More complex stochastic processes, CIR, SABR model. Calibration. Bankruptcy modeling, Poisson process. Risk metrics, measures. Hedging. Residual risk. VaR, ES. Regulation and capital adequacy. Markowitz model. Active and passive investment funds and strategies. Concept, types, and benchmarking of stock indices. Factor investing. ESG. Algorithmic trading, the role of data science in financial modeling, innovative technologies, Fin-tech, quantum computer, block chain, algorithmic differentiation.
- Assessment method
- exams 30% + homework 70%