154-0325/02 – Financial Models (FM)

Gurantor departmentDepartment of FinanceCredits6
Subject guarantorprof. Dr. Ing. Zdeněk ZmeškalSubject version guarantorprof. Dr. Ing. Zdeněk Zmeškal
Study levelundergraduate or graduate
Study languageCzech
Year of introduction2019/2020Year of cancellation
Intended for the facultiesEKFIntended for study typesFollow-up Master
Instruction secured by
LoginNameTuitorTeacher giving lectures
KRE330 doc. Ing. Aleš Kresta, Ph.D.
TIC02 prof. Ing. Tomáš Tichý, Ph.D.
VAL35 Ing. Jiří Valecký, Ph.D.
ZME40 prof. Dr. Ing. Zdeněk Zmeškal
Extent of instruction for forms of study
Form of studyWay of compl.Extent
Full-time Credit and Examination 2+2

Subject aims expressed by acquired skills and competences

The course aims at improvement of students’ ability to formulate, solve and subsequently interpret and evaluate real financial and banking issues by means of both, basic and advance approaches of mathematical modeling by means of software tools, mainly on MS Excel basis.

Teaching methods

Lectures
Tutorials

Summary

Teaching and practicing students in formulation, solving and interpreting practical problems from the finance and banking area using simple and more complicated tools of mathematical modelling supported by software, primarily excel.

Compulsory literature:

BENNINGA, Simon and Benjamin CZACZKES. Financial Modelling. 3rd ed. The MIT Press, 2008. p. 1168. ISBN 978-0262026284. HULL, John C. Options, Futures and other Derivatives. 8th ed. Prentice Hall, 2011. p. 864. ISBN 978-0132777421. ZMEŠKAL, Zdeněk a kol. Finanční modely. 2. vyd. Praha: Ekopress, 2004. 236 s. ISBN 80-86119-87-4.

Recommended literature:

BENNINGA, Simon. Principles of Finance with Excel. 2nd ed. Oxford University Press, 2010. p. 816. ISBN 978-0199755479. FABOZZI, F. J., S. M. FOCARDI and P. N. KOLM. Financial Modeling of the Equity Market: From CAPM to Cointegration. Wiley, 2006. p. 651. ISBN 0-471-69900-4. HULL, John C. Risk Management and Financial Institutions. Wiley, 2012. p. 672. ISBN 978-1118269039.

Way of continuous check of knowledge in the course of semester

Credit - seminar work Examination - two parts (PC, oral)

E-learning

Other requirements

There are no other requirements on student.

Prerequisities

Subject codeAbbreviationTitleRequirement
154-0323 FRR Financial Decision-Making under Risk Compulsory

Co-requisities

Subject has no co-requisities.

Subject syllabus:

1. Simulation and optimization of the company financial plan 2. Stochastic optimization models 3. Optimization with application in the corporate finance 4. Optimization of the financial assets portfolio (I) 5. Optimization of the financial assets portfolio (II) 6. Yield curves and credit risk 7. Optimization of the bonds portfolio (active strategy) 8. Optimization of the bonds portfolio (passive strategy) 9. Management and optimization of assets and liabilities in banking institutions 10. Financial variables forecasting 11. Methods of technical analysis 12. Options pricing models and their application (discrete models, binomial model) 13. Options pricing models and their application (continuous models, Black-Scholes model) 14. Advanced methods of hedging

Conditions for subject completion

Full-time form (validity from: 2019/2020 Winter semester)
Task nameType of taskMax. number of points
(act. for subtasks)
Min. number of points
Credit and Examination Credit and Examination 100 (100) 51
        Credit Credit 35 (35) 18
                Písemka Written test 35  18
        Examination Examination 65 (65) 33
                Písemka Written test 20  10
                Ústní zkouška Oral examination 45  23
Mandatory attendence parzicipation:

Show history

Occurrence in study plans

Academic yearProgrammeField of studySpec.ZaměřeníFormStudy language Tut. centreYearWSType of duty
2020/2021 (N0488A050004) Finance and Accounting (S01) Finance FRP P Czech Ostrava 1 Compulsory study plan
2020/2021 (N0688A050001) Information and Knowledge Management P Czech Ostrava 1 Choice-compulsory type B study plan
2019/2020 (N0488A050004) Finance and Accounting (S01) Finance FRP P Czech Ostrava 1 Compulsory study plan

Occurrence in special blocks

Block nameAcademic yearForm of studyStudy language YearWSType of blockBlock owner