154-0924/01 – Financial modelling (FINM)

Gurantor departmentDepartment of FinanceCredits10
Subject guarantorprof. Dr. Ing. Zdeněk ZmeškalSubject version guarantorprof. Dr. Ing. Zdeněk Zmeškal
Study levelpostgraduateRequirementChoice-compulsory type B
YearSemesterwinter + summer
Study languageCzech
Year of introduction2019/2020Year of cancellation
Intended for the facultiesEKFIntended for study typesDoctoral
Instruction secured by
LoginNameTuitorTeacher giving lectures
TIC02 prof. Ing. Tomáš Tichý, Ph.D.
ZME40 prof. Dr. Ing. Zdeněk Zmeškal
Extent of instruction for forms of study
Form of studyWay of compl.Extent
Full-time Examination 28+0
Part-time Examination 28+0

Subject aims expressed by acquired skills and competences

The aim of this course is to master the solution and interpretation of problems in finance and banking through mathematical modeling tools. The course is focused on financial planning, modern portfolio theory, models of management and optimization of bond portfolio and portfolio of assets and liabilities in banking institutions, application of technical analysis tools, capital asset pricing models, option pricing models (Black-Scholes model, binomial pricing model), hedging strategies, application of the Value at Risk method, simulation of random processes of financial assets and portfolios, forecasting of financial asset parameters.

Teaching methods

Lectures
Individual consultations

Summary

Compulsory literature:

ALEXANDER, C. Market Risk Analysis. Volume I – IV. Chichester: Wiley, 2008. HULL, J. C. Options, Futures, and other Derivarives. 8th ed. Prentice Hall, 2011. ZENIOS, Stavros. A. Practical Financial Optimization. Oxford: Blackwell Publishing, 2007.

Recommended literature:

ADAMS, A. BLOOMFIELD, D. and P. BOOTH. Investment Mathematics and Statistic. Kluwer Law International, 1995. CAMPBELL, J. Y., A. W. LO, a A. C. MACKINLAY. The Econometrics of Financial Markets. Princeton University Press, 1997. DUFFIE, Darrell. Security Markets - Stochastic Models. Academic Press, Incorporation, 1988.

Way of continuous check of knowledge in the course of semester

oral examination

E-learning

Other requirements

there are no other requirements on student

Prerequisities

Subject has no prerequisities.

Co-requisities

Subject has no co-requisities.

Subject syllabus:

1. Classification of stochastic processes 2. Risk measures and utility functions 3. Financial planning and sales prediction 4. Optimization in corporate finance 5. Interest rate models 6. Portfolio optimization of fixed income securities 7. Equity portfolio optimization 8. Option valuation methods 9. Statistical testing and verification in finance 10. Simulation and numerical techniques in finance 11. Uncertainty and fuzzy sets in finance 12. Artificial intelligence, neural networks, and biologically inspired algorithms in finance

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 pointsMax. počet pokusů
Examination Examination   3
Mandatory attendence participation:

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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
2024/2025 (P0412D050003) Finance P Czech Ostrava Choice-compulsory type B study plan
2024/2025 (P0412D050003) Finance K Czech Ostrava Choice-compulsory type B study plan
2023/2024 (P0412D050003) Finance K Czech Ostrava Choice-compulsory type B study plan
2023/2024 (P0412D050003) Finance P Czech Ostrava Choice-compulsory type B study plan
2022/2023 (P0412D050003) Finance K Czech Ostrava Choice-compulsory type B study plan
2022/2023 (P0412D050003) Finance P Czech Ostrava Choice-compulsory type B study plan
2021/2022 (P0412D050003) Finance K Czech Ostrava Choice-compulsory type B study plan
2021/2022 (P0412D050003) Finance P Czech Ostrava Choice-compulsory type B study plan
2020/2021 (P0412D050003) Finance P Czech Ostrava Choice-compulsory type B study plan
2020/2021 (P0412D050003) Finance K Czech Ostrava Choice-compulsory type B study plan
2019/2020 (P0412D050003) Finance P Czech Ostrava Choice-compulsory type B study plan
2019/2020 (P0412D050003) Finance K Czech Ostrava Choice-compulsory type B study plan

Occurrence in special blocks

Block nameAcademic yearForm of studyStudy language YearWSType of blockBlock owner

Assessment of instruction

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