| +420 604 294 866


Stochastic Models in Finance and Insurance

The seminar in Czech language has been already open.
The seminar in English language will be agreed later during the year.

Section 1: Stochastic Processes in Finance and Insurance

Presenter: RNDr. Milan Sitař

  • Discrete time Markov chains: Absorbing chains, Irreducible chains. Markov chains with rewards.
  • Continuous time Markov processes: Poisson process. Birth and Death processes. Renewal processes.
  • Diffusion processes: (geometric) Brownian motion. Exponential Lévy process. Ornstein-Uhlenbeck process.
  • Martingales. Principles of stochastic calculus: Stochastic differential equations. Ito’s lemma.
  • Case studies: Credit rating dynamics. Random walk. Bonus/malus system. Risky asset price dynamics. Mean-reversion models of interest rate.

Section 2: Insurance Models

Presenter: RNDr. Milan Sitař

  • Number of survivals. Portfolio evolution. Population models.
  • Bonus/malus system.
  • Frequency and severity models: Number of claims. Individual vs. Collective model. Risk measures.
  • Premium setting. Valuation vs. Market provisions.

Section 3: Financial Models

Presenter: Ing. Kamil Kladívko, Ph.D.

  • Basics of no-arbitrage dynamic asset pricing
o Black and Scholes framework. Self-financing portfolio and payoff replication. Hedging and Greeks.
o Risk-neutral and real-world measures. Market completeness. Fundamental theorems of asset pricing.
  • Interest rate models: Vasicek, Hull and White, CIR, HJM framework. Calibration to market data
  • Option valuation: European, American, Asian, Barrier. Binomial trees.
  • Additional topics: Inflation (index) linked instruments. Incomplete markets.



Section 4: Monte Carlo Methods

Presenter: RNDr. Milan Sitař

  • Mathematical background: Strong law of large numbers. Central limit theorem.
  • Random number generation: Discrete random variable. Continuous (uniform/nonuniform) random variable. Random vector/matrix.
  • Variance reduction method: Antithetic variable methods. Control variate methods.
  • Case studies: Best estimate of liabilities. Contractual and financial options and guarantees. Simulations of risks.
Contact us

t: +420 604 558 695

Martin Janeček
t: +420 604 294 866


CONTACT US | We will seriously reply to all your hints/questions. Contact us!


Copyright © 2013 Tools4F, s.r.o. - All rights reserved
Created by: Pixel Design | Home | Contacts | Sitemap