The program consists of two parts which may be followed independently. The first part is a solid introduction to Financial Mathematics (FM) will be given by international teaching staff. Theoretical as well as practical aspects of FM will taught by experts also from the bank industry. Some knowledge of Probability Theory is assumed. Certain topics like Black-Scholes formula require deepening the knowledge in Analysis. A necessary course will be taught separately in Part II, dedicated to Differential Models (DM). The collected material will permit to present a brief introduction to crystal growth problems which seem distant from FM.
| Address | Department of Mathematics, Informatics & Mechanics Institute of Applied Mathematics and Mechanics ul. Banacha 2 02-097 Warszawa POLAND |
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| Phone | (+48)(22)5544301, |
| Fax | (+48)(22)5544300 |
| rybka@mimuw.edu.pl |
Location of the IP: Poland, Warsaw
Start date of the IP: 24/06/2002
Duration of the IP: 21 days
The political and economic changes, which have occurred in the countries of Central and Eastern Europe during the last ten years affected also the educational system of those countries. Namely, the transformation resulted in a huge demand for MBA graduates and people trained in Financial Mathematics. It is clear that training of the students has to be adjusted to the present and anticipated needs of labour market. Namely, we expect greater role of Mathematics in running the economy. At the same time, the prospect of closer ties of Czech Republic or Poland with European Union makes easier to share past experience and develop curricula for the future.
The proposed IP consists of two parts combined in a unique way. The first part (dubbed FM) is devoted to Financial Mathematics. We plan to give its participants a solid background in FM. It is also foreseen that a practitioner from bank industry will deliver a guest lecture. This is not a common university practice. On the other hand, Financial Mathematics should not be detached from the rest of Mathematics. For this reason the second part of the IP is devised (shortly dubbed DM). It is devoted to presenting the necessary background in Analysis for careful exposition of Financial Mathematics. This material will be shown applicable to problems seemingly not connected with business and finances, e.g. crystal growth. Thus, teaching Applied Mathematics through concrete modeling examples will be promoted. Summarizing, the whole IP is foreseen to be a unique combination of Pure and Applied Mathematics, which is not commonly seen in university curricula.
The material outcome of the IP will be a set of lecture notes which may be used in the future as textbooks. The proposed IP will be an opportunity for teachers from EU countries to meet their colleagues from well-established research centers in Poland or Czech Republic. This meeting will result in discussions which are likely to lead to scientific collaboration in the future. The attending students are also likely to make friends with their colleagues from foreign countries, who may be their prospective partners in business or science.
Black-Scholes formula and Markovian processes lead to study topics in Analysis and Differential Equations. Modeling American options is a free boundary problem which is similar to that modeling crystal growth phenomena, which seem rather distant from Financial Mathematics. The second part is devoted to developing the analytical tool needed for the above mentioned phenomena and it will be self-contained. It may followed independently and it will be of interest to students eager to broaden their knowledge of Applied Mathematics.
Both Parts may be followed independently. Lecture notes are expected prior to the commencement of the IP. Both parts will end with exams prepared and conducted by the teachers after completing each section. A certificate of completion (with a grade) will be issued by the Dean of the Mathematics Department of Warsaw University upon recommendation of the teachers.
The audience will consist of students with Bachelor degrees and pre-docs. Bank employees working on professional degrees are also expected.
No formal cooperation with public- private-sector is in place but there are informal ties. An industry practitioner from a leading Polish bank (or a teacher with joint positions in bank industry and in academia) is expected to give a guest lecture.
Vrije Universiteit, Charles University, Jagiellonian University and Warsaw University have their own FM programs running. The present program has been constructed in a such way that it actually is an extension of curricula. TU Darmstadt, Universita Cattolica, Warsaw University will provide teachers for the DM Part of the IP have their active teaching and research programs going on in the area of free boundary problems.
Students will be selected by partner universities on competitive basis. The students must meet the language and Mathematics prerequisites to follow the program.
Traditional methods of class lecturing and problem sessions will be employed. A lecture and accompanying practice session will be held the same day. Schematic time-table of courses: 1st week - sections 1. and 2. of FM; 2nd week - sections 3. and 4. of FM and section 2. of DM; 3rd week sections 1. and 3. of DM. Lecture notes are expected prior to commencement of the IP. Presentations of commercial software are foreseen for the FM part. Part Two involves video presentation of numerical results.
Teachers are supposed to prepare their lecture notes sets prior to the IP.
A teacher with joint positions in business or a bank industry practicioner will be invited to teach about practical issues of FM.
Due to international character of the proposed IP, English will be the working language.
Financial aspects, financial support is forseen for the students from participating institutions. Warsaw University will provide dormitories for students at the discounted prices. Some partner universities have already declared covering a part of travel costs.
| fmdm@mimuw.edu.pl | Last updated: |
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