154-0525/04 – Financial models (FM)

Gurantor department	Department of Finance	Credits	6
Subject guarantor	doc. Ing. Aleš Kresta, Ph.D.	Subject version guarantor	doc. Ing. Aleš Kresta, Ph.D.
Study level	undergraduate or graduate
		Study language	English
Year of introduction	2019/2020	Year of cancellation
Intended for the faculties	EKF	Intended for study types	Follow-up Master

Instruction secured by
Login	Name	Tuitor	Teacher giving lectures
KRE330	doc. Ing. Aleš Kresta, Ph.D.
TIC02	prof. Ing. Tomáš Tichý, 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 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 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 name	Type of task	Max. number of points (act. for subtasks)	Min. number of points	Max. počet pokusů
Credit and Examination	Credit and Examination	100 (100)	51
Credit	Credit	35 (35)	18
Písemka	Written test	35	18	2
Examination	Examination	65 (65)	33	3
Písemka	Written test	20	10	3
Ústní zkouška	Oral examination	45	23	3

Valid from	Valid until	Mandatory attendence participation
Apr 16, 2019 7:59:20 AM	Dec 6, 2023 3:46:01 PM

Mandatory attendence participation: Participation in the exercises and lectures is optional.

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Conditions for subject completion and attendance at the exercises within ISP: Participation in the exercises is not mandatory. The student must meet the requirements for passing the subject - credit and completing the examination.

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Occurrence in study plans

Academic year	Programme	Zaměření	Form	Study language	Tut. centre	Year	Type of duty
2024/2025	(N0412A050005) Finance	FRP	P	English	Ostrava	1	Compulsory	study plan
2023/2024	(N0412A050005) Finance	FRP	P	English	Ostrava	1	Compulsory	study plan
2022/2023	(N0412A050005) Finance	FRP	P	English	Ostrava	1	Compulsory	study plan
2021/2022	(N0412A050005) Finance	FRP	P	English	Ostrava	1	Compulsory	study plan
2020/2021	(N0412A050005) Finance	FRP	P	English	Ostrava	1	Compulsory	study plan
2019/2020	(N0412A050005) Finance	FRP	P	English	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

Assessment of instruction

2022/2023 Summer