Computational Finance (CompFin)

Each module has to be completed with 8 credit points.

2nd (summer) semester module

Module 1. Computational Finance 1
ID: CompFin1
Compulsoriness: Compulsory
ECTS credits: 8
Workload: 240 hours
Duration of Module: 1 semester
Semester: Summer (2nd)
Qualification goals: The students are familiar with basic concepts in Computational Finance. They have learnt how to model in finance, develop and use simulation tools and judge their efficiency and practicability in front offices.
Assessment Measures: The form of the examination of the module is announced at the beginning of the semester in which the examination will be conducted. One of two options is possible:
• written module examination (120 minutes), unrestrictedly repeatable;
• oral module examination (30 minutes), unrestrictedly repeatable.

Components of the Module

CompFi1-a. "Computational Finance 1"
Compulsoriness: Compulsory
Form of Study: Lectures and exercises
Weekly Hours: 6
Overall Workload: 240 hours
Description: Prerequisite is the knowledge of numerical analysis at the Bachelor´s level.
Contents: E.g., modelling of financial markets, Black-Scholes model, stochastic differential equations.

3rd (winter) semester module

Module 2. Computational Finance 2
ID: CompFin2
Compulsoriness: Compulsory
ECTS credits: 8
Workload: 240 hours
Duration of Module: 1 semester
Semester: Winter (3rd)
Qualification goals: The students are familiar with basic concepts numerical methods applied in Computational Finance. They are able to solve numerically partial differential equations arising in finance, and can interpret the numerical results.
Assessment Measures: The form of the examination of the module is announced at the beginning of the semester in which the examination will be conducted. One of two options is possible:
• written module examination (120 minutes), unrestrictedly repeatable;
• oral module examination (30 minutes), unrestrictedly repeatable.

Components of the Module

CompFi2-a. "Computational Finance 2"
Compulsoriness: Compulsory
Form of Study: Lectures and exercises
Weekly Hours: 6
Overall Workload: 240 hours
Description: Prerequisite is the knowledge of numerical analysis at the Bachelor´s level.
Contents: E.g., finite difference methods, finite element methods, partial differential equations arising in finance, numerical solution of initial boundary value problems.