154-0525/03 – Financial models (FM)

Gurantor departmentDepartment of FinanceCredits6
Subject guarantordoc. Ing. Aleš Kresta, Ph.D.Subject version guarantorprof. Dr. Ing. Zdeněk Zmeškal
Study levelundergraduate or graduateRequirementCompulsory
Year1Semestersummer
Study languageEnglish
Year of introduction2009/2010Year of cancellation2021/2022
Intended for the facultiesEKFIntended for study typesFollow-up Master
Instruction secured by
LoginNameTuitorTeacher 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 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

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 codeAbbreviationTitleRequirement
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

Full-time form (validity from: 2014/2015 Summer semester, validity until: 2021/2022 Summer semester)
Task nameType of taskMax. number of points
(act. for subtasks)		Min. number of pointsMax. počet pokusů
Credit and Examination Credit and Examination 100 (100) 51
        Credit Credit 35 (35) 18
                Writen test Written test 35  18 2
        Examination Examination 65 (65) 33 3
                Writen test Written test 20  10 3
                Oral examination Oral examination 45  23 3
Mandatory attendence participation:

Show history

Conditions for subject completion and attendance at the exercises within ISP:

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Occurrence in study plans

Academic yearProgrammeBranch/spec.Spec.ZaměřeníFormStudy language Tut. centreYearWSType 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 nameAcademic yearForm of studyStudy language YearWSType of blockBlock 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