154-0525/03 – Financial models (FM)

Gurantor department	Department of Finance	Credits	6
Subject guarantor	doc. Ing. Aleš Kresta, Ph.D.	Subject version guarantor	prof. Dr. Ing. Zdeněk Zmeškal
Study level	undergraduate or graduate
		Study language	English
Year of introduction	2009/2010	Year of cancellation	2021/2022
Intended for the faculties	EKF	Intended for study types	Follow-up Master

Instruction secured by
Login	Name	Tuitor	Teacher giving lectures
GUO001	Ing. Haochen Guo, Ph.D.
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 study	Way 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

Within this subject students works out selected applications of financial decision-making issues. The students are educated in formulation, solving and interpretation of 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, S. a B. CZACZKES. Financial Modelling. 3rd ed. The MIT Press, 2008. 1168 p. ISBN 978-02-620-2628-4. HULL, J. C. Option, Futures and other Derivatives. 9th ed. New York: Prentice Hall, 2014. 896 p. ISBN 978-01-334-5631-8. ZMEŠKAL, Z. a kol. Financial models. 1. ed. Ostrava: VSB-TUO, 2004. 254 p. ISBN 80-248-0754-8. BJÖRK, T. (2004): Arbitrage Theory in Continuous Time. Oxford University Press, 2004. HOLTON, G. A. (2003): Value-at-Risk: Theory and Practice. Academic Press, 2003. HULL, J. C. (2002): Options, Futures, & other Derivatives. Prentice Hall. 2002. ZMEŠKAL, Z. et al. Financial models. VSB-TU Ostrava, 2005.

Recommended literature:

BENNINGA, S. Principles of Finance with Excel. 2nd ed. Oxford University Press, 2010. 816 p. ISBN 978-01-997-5547-9. FABOZZI, F. J., S. M. FOCARDI a P. N. KOLM. Financial Modeling of the Equity Market: From CAPM to Cointegration. Wiley, 2006. 651 p. ISBN 0-471-69900-4. HULL, J. C. Risk Management and Financial Institutions. Wiley, 2012. 672 p. ISBN 978-11-182-6903-9. BJÖRK, T. (2004): Arbitrage Theory in Continuous Time. Oxford University Press, 2004. HOLTON, G. A. (2003): Value-at-Risk: Theory and Practice. Academic Press, 2003. HULL, J. C. (2002): Options, Futures, & other Derivatives. Prentice Hall. 2002. ZMEŠKAL, Z. et al. Financial models. VSB-TU Ostrava, 2005.

Way of continuous check of knowledge in the course of semester

E-learning

Other requirements

There are no other requirements on the students.

Prerequisities

Subject code	Abbreviation	Title	Requirement
154-0523	FDMuR	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 of the investment projects portfolio 4. Optimization of the financial assets portfolio 5. Optimization of the financial assets portfolio 6. Capital assets pricing models 7. Capital assets pricing models 8. Optimization of the bonds portfolio 9. Optimization of the bonds portfolio 10. Management and optimization of assets and liabilities in banking institutions 11. Financial variables forecasting 12. Options pricing models and their application 13. Options pricing models and their application 14. Delta hedging

Conditions for subject completion

Conditions for completion are defined only for particular subject version and form of study

Occurrence in study plans

Academic year	Programme	Branch/spec.	Spec.	Form	Study language	Tut. centre	Year	Type of duty
2018/2019	(N6202) Economic Policy and Administration	(6202T010) Finance		P	English	Ostrava	1	Compulsory	study plan
2017/2018	(N6202) Economic Policy and Administration	(6202T010) Finance		P	English	Ostrava	1	Compulsory	study plan
2016/2017	(N6202) Economic Policy and Administration	(6202T010) Finance		P	English	Ostrava	1	Compulsory	study plan
2015/2016	(N6202) Economic Policy and Administration	(6202T010) Finance		P	English	Ostrava	1	Compulsory	study plan
2014/2015	(N6202) Economic Policy and Administration	(6202T010) Finance	(01) Finance	P	Czech	Ostrava	1	Compulsory	study plan
2013/2014	(N6202) Economic Policy and Administration	(6202T010) Finance	(01) Finance	P	Czech	Ostrava	1	Compulsory	study plan
2012/2013	(N6202) Economic Policy and Administration	(6202T010) Finance	(01) Finance	P	Czech	Ostrava	1	Compulsory	study plan
2010/2011	(N6202) Economic Policy and Administration	(6202T010) Finance	(01) Finance	P	Czech	Ostrava	1	Compulsory	study plan
2009/2010	(N6202) Economic Policy and Administration	(6202T010) Finance	(01) Finance	P	Czech	Ostrava	1	Compulsory	study plan

Occurrence in special blocks

Block name	Academic year	Form of study	Study language	Year	W	S	Type of block	Block owner
Subject block without study plan - EKF - P - en	2020/2021	Full-time	English				Optional	EKF - Faculty of Economics	stu. block
Subject block without study plan - EKF - P - en	2019/2020	Full-time	English				Optional	EKF - Faculty of Economics	stu. block

Assessment of instruction

2015/2016 Summer