Credit: 0(0-0); ECTS: 50.0The Program of research leading to M.S. degree arranged between the student and a faculty member. Students register to this course in all semesters while the research program or write up of thesis is in progress. Student must start registering to this course no later than the second semester of his/her M.S. study.
Credit: 3(3-0); ECTS: 8.0Linear Feedback Shift Registers: Generating Functions, Minimal Polynomial and Families of Recurring Sequences, Characterizations and Properties of Linear Recurring Sequences. Design and Analysis of Stream Ciphers: Stream Ciphers Using LFSRs, Additive Generators, Gifford, Algorithm M, PKZIP. Other Stream Ciphers and Real Random Sequence Generators: RC4, SEAL, WAKE, Feedback with Carry Shift Registers, Stream Ciphers using FCSRs, Non-Linear-Feedback Shift Registers. Cascading Multiple Stream Ciphers, Generating Multiple Streams from a Single Pseudo-Random-Sequence Generator.
Credit: 3(3-0); ECTS: 8.0Algebraic Enumeration Methods: Bijections, generating functions, free monoids. Lagrange inversion, multisets and partitions. Inclusion-Exclusion, Mobius inversion, symmetric functions. Asymptotic Enumeration: Estimation of sums, formal power series, elementary estimates for convergent generating functions, analytical generating functions, singularities, Darboux’s theorem, algorithmic and automated asymptotics. External set systems: Intersecting families, families with prescribed intersection sizes, s-wise t-intersection families, covering number. Computational complexity.
Credit: 3(3-0); ECTS: 8.0Block Cipher Systems: Building Blocks and Design Criteria. Modes of Operation: ECB, CBC, CFB, OFB, PCBC. Boolean Functions, Correlations and Walsh Transforms. Cryptographic Criteria: Propagation Characteristics, Nonlinearity, Resiliency and Generalization to S-Boxes. Differential and Linear Cryptanalysis, Algebraic Attacks. Descriptions of DES, SAFER, IDEA and AES Semi-Finalist Algorithms: Rijndael, Mars, Serpent, Twofish and RC6. Statistical Evaluation and Performance Comparison of AES Semi-Finalist Algorithms.
Credit: 3(3-0); ECTS: 8.0Algebraic Preliminaries: Group, Ring, Ideals, Prime and Maximal ideals, Homomorphisms, Isomorphism theorems, Field, Polynomials, Field extensions, Finite fields, Factorization of polynomials, Splitting field. Quadratic residues and quadratic reciprocity.
Credit: 3(3-0); ECTS: 8.0Introduction to Derivative and Financial Markets. The Structure of Options Markets. Principles of Option Pricing. Option Pricing Models. Basic Option Strategies. Advanced Option Strategies. The Structure of Forward and Futures Markets. Principles of Spot Pricing. Principles of Forward and Futures Pricing. Futures Hedging Strategies. Advanced Futures Strategies. Options on Futures. Foreign Currency Derivatives. Swaps and Other Interest Rate Agreements.
Credit: 3(3-0); ECTS: 8.0The objective of this course is an introduction to the probabilistic techniques required for understanding the most widely used financial models. In the last few decades, financial quantitative analysts have used sophisticated mathematical concepts in order to describe the behavior of markets and derive computing methods. The course presents the martingales, the Brownian motion, the rules of stochastic calculus and the stochastic differential equations with their applications to finance. Outline of Topics: Discrete time models, Martingales and arbitrage opportunities, complete markets, European options, option pricing, stopping times, the Snell envelope, American options. Continuous time models: Brownian motion, stochastic integral with respect to the Brownian motion, the Itô Calculus, stochastic differential equations, change of probability, representation of martingales; pricing and hedging in the Black-Scholes model, American options in the Black-Scholes model; option pricing and partial differential equations; interest rate models; asset models with jumps.
Credit: 3(3-0); ECTS: 8.0The focus of this course is on asset pricing. The topics that will be discussed can be summarized as follows: Individual investment decisions under uncertainty are analyzed and the optimal portfolio theory is discussed using both static and dynamic approach. Then the theory of capital market equilibrium and asset valuation is introduced. In this context several equilibrium models of asset markets are presented. These include the Arrow-Debreu model of complete markets, the Capital Asset Pricing Model (CAPM) and the Arbitrage Pricing Theory (APT). Besides mutual fund separation and aggregation theorems are analyzed. Finally, the financial decisions of firms are considered and the Modigliani-Miller theorems are analyzed.
Credit: 3(3-0); ECTS: 8.0Basic concepts of probability in sense of risk theory, Introduction to risk processes (claim number process, claim amount process, total claim number process, total claim amount process, inter-occurrence process), Convolution and mixed type distributions, Risk models ( individual and collective risk models), Numerical methods ( simple methods for discrete distributions, Edgeworth approximation, Esscher approximation, normal power approximation), Premium calculation principles, Credibility Theory, Retentions and reinsurance, Ruin theory, Ordering of risks.
Credit: 3(3-0); ECTS: 8.0Interest Rate Derivatives: Futures, Options on Bonds, and Options on Interest Rates such as Caps and Floors. Models of Arbitrage-Free pricing of Interest-Rate Derivatives: Arbitrage Pricing Theory for Derivative Securities. Basics for The Modeling of Interest-Rate movements. Dynamics of Interest-Rate movements. Short-Rate Models and the Heath-Jarrow-Morton Model of Forward Rates. Change of Numéraire Technique. Derivation of Formulae for the Pricing and Hedging of Certain Derivatives. Numerical Methods for the Actual Implementation of the Valuation of Term Structure Models.
Credit: 3(3-0); ECTS: 8.0
Mathematical modelling of stochastic reaction systems. Deterministic approach: ODE models, Reaction Rate Equations. Stochastic Models: Chemical Master Equation, Chapman-Kolmogorov Equations, Gillespie Algorithms, Explicit Solution Formulas, Hybrid Methods, Tau-Leaping method. Lotka-Volterra Models, Michaelis-Menten Models.
Credit: 3(3-0); ECTS: 8.0
Ordinary Differential Equations: Euler’s method, multistep methods, Runge-Kutta methods, stiff equations, adaptivity; Boundary Value Problems: shooting, collocation, Galerkin; Partial Differential Equations: parabolic, elliptic, and hyperbolic equations; Iterative Methods for Sparse Linear Systems: splitting methods, descent methods, conjugate gradients, preconditioners, multigrid methods.
Credit: 3(3-0); ECTS: 8.0
Abstract Finite Element Analysis: weak derivatives, Sobolev spaces, Lax-Milgram lemma; Piecewise Polynomials Approximations 1D and 2D: interpolation, projection; Finite Element Method 1D and 2D: weak formulation, derivation of linear system of equations, a priori estimates; Time Dependent Problems: finite differences for systems of ODE, stability estimates; Semi-elliptic equations; a posteriori Error Analysis: estimator, mesh Refinement
Credit: 3(3-0); ECTS: 8.0The theory of compound interest: Effective and nominal interest rates, present values, annuities. Survival distributions and life tables. Life Insurance: Level benefit insurance, endowments, varying level benefit insurance. Life annuities. Benefit premiums. Benefit reserves.
Credit: 2(2-0); ECTS: 6.0
Review of Programming and Toolboxes, Packages, Modules; Iterative Linear Algebra Problems; Root Finding Programs; Recursive Functions and Algorithms; Optimisation Algorithms; Data Fitting and Interpolation; Extrapolation; Numerical Integration; Numerical Solutions of Differential Equations: IVPs and BVPs; Selected Topics (algorithms and coding in different fields).
Credit: 0(0-0); ECTS: 130.0Program of research leading to Ph.D. degree arranged between the student and a faculty member. Students register to this course in all semesters starting from the beginning of their second semester while the research program or write up of thesis is in progress.
Credit: 3(3-0); ECTS: 8.0Numerical Methods for Discrete Time Models: binomial method for options; discrete time optimal control problems. Reminders on Continuous Models: Ito process and its applications in stock market, Black-Scholes equation and its solution; Hedging, Volatility smile. Monte Carlo Method for Options: generating random numbers, transformation of random variables and generating normal variates; Monte Carlo integration; pricing by Monte Carlo integration; variance reduction techniques, quasi-random numbers and quasi-Monte Carlo method. Finite Difference Methods for Options: explicit and implicit finite difference schemes, Crank-Nicolson method; Free-Boundary Problems for American options. Finite Difference Methods for Control Problems: Markov Chain approximation method, elliptic Hamiltion-Jacobi-Bellman equations, computational methods.
Credit: 3(3-0); ECTS: 8.0
Classification of inverse problems, linear regression, discretizing continuous inverse problems, rank-deficiency, Tikhonov regularization, iterative methods, other regularization techniques, Fourier techniques, nonlinear inverse problems, Bayesian methods. Computer applications and MATLAB exercises are important elements of the course.
Credit: 0(0-2); ECTS: 10.0
This course is designed to provide students with a chance to prepare and present a professional seminar on subjects of their own choice. Students can work independently in issues that require expertise; they can share and make presentations of their research both verbally and in written form.
Credit: 0(0-0); ECTS: 0.0
This course is a fundamental course for any kind of graduate program since its focus is on the scientific research methods. It provides an introduction to the research design as well as ethical issues in scientific research. More specifically, the course provides students with an integrated framework for doing research. Students will gain methodological skills which will assist them in applying to the research process, such as defining the research questions, design and define the research methods, survey design, data inquiries. In this way, the students learn to manage their thesis writing process independently, writing their own research paper. The role of ethics in research, ethical issues in conducting research will be emphasized to assure ethical aspects in scientific research.
Credit: 3(0-0); ECTS: 8.0
Quantum Information Theory: density matrix, composite systems, Shannon entropy; Quantum Data Compression; Decoherence: decoherence models for a single qubit, quantum black box; Quantum Error Correction: general properties of quantum error correction; Experimental Implementations: NMR quantum computation, cavity quantum electro dynamics.
Credit: 3(3-0); ECTS: 8.0
This course is an introduction to the mathematical formulation and treatment of problems arising from trade execution in financial markets. When there are costs and constraints imposed on the execution of trades, how to best execute them? The course studies mathematical formulations and solutions of these types of problems.