Winter Semester 2011/12
Winter Semester 2015/16
Mathematical Models in Finance (elective) MAT3513
Course content:
Capital market, financial instruments.
Capital asset pricing models.
Elements of portfolio theory.
Value-at-Risk and Expected Shortfall as risk measures.
Investment performance evaluation.
Learning outcomes:
Knowledge and abilities to using capital asset pricing models, risk measures, investment performance evaluation models
(in Polish) Rodzaj przedmiotu
Course coordinators
Bibliography
a) basic references:
Haugen R.A. "Teoria nowoczesnego inwestowania", WIG-Press, Warszawa, 1996.
Luenberger D. "Teoria inwestycji finansowych", PWN, Warszawa, 2003.
Elton E.J., Gruber M.J. "Nowoczesna teoria portfelowa i analiza papierów wartościowych", WIG-Press, Warszawa, 1998.
Jajuga K., Jajuga T. "Inwestycje finansowe", PWN, Warszawa, 2007.
b) supplementary references:
Osińska M. "Ekonometria finansowa", PWE, Warszawa, 2006.
Trzaskalik T. (red.) "Metody wielokryterialne na polskim rynku finansowym", PWE, Warszawa, 2006.