154-9502/01 – Financial models (FMa)

Gurantor departmentDepartment of FinanceCredits10
Subject guarantorprof. Dr. Ing. Zdeněk ZmeškalSubject version guarantorprof. Dr. Ing. Zdeněk Zmeškal
Study levelpostgraduateRequirementChoice-compulsory
YearSemesterwinter + summer
Study languageEnglish
Year of introduction2013/2014Year 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 80+0
Part-time Examination 80+0

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
Individual consultations

Summary

The objective is to master the problems solving and interpretation from the area of finance and banking with aid of instruments of mathematical modelling. The subject if focused on financial planning, contemporary theory of portfolio, models of managing portfolio, optimisation of bond portfolio and portfolio of assets and liabilities in the banking institutions, application of tools for technical analyses, models of valuation of capital assets, models of valuation of options, hedging strategies, application of the method Value at Risk.

Compulsory literature:

Darmodaran, A.: Darmodaran on Valuation, Security Analysis for Investment and Corporate Finance. J. Willey & Sons,1995. Dluhošová, D. a kol.: New approaches and financial instruments in financial decision-making, VŠB – TUO, 2004. Elton, E. J., Gruber, M. J.: Modern Portfolio Theory and Investment Analysis. John Wiley & Sons, Inc., 1991. Zmeškal, Z. Financial Models. Ostrava: VŠB-TUO, 2004.

Recommended literature:

Darmodaran, A.: Darmodaran on Valuation, Security Analysis for Investment and Corporate Finance. J. Willey & Sons,1995. Dluhošová, D. a kol.: New approaches and financial instruments in financial decision-making, VŠB – TUO, 2004. Elton, E. J., Gruber, M. J.: Modern Portfolio Theory and Investment Analysis. John Wiley & Sons, Inc., 1991. Zmeškal, Z. Financial Models. Ostrava: VŠB-TUO, 2004.

Way of continuous check of knowledge in the course of semester

written and oral exam

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

Part-time form (validity from: 2013/2014 Winter semester)
Task nameType of taskMax. number of points
(act. for subtasks)
Min. number of points
Examination Examination  
Mandatory attendence parzicipation:

Show history

Occurrence in study plans

Academic yearProgrammeField of studySpec.ZaměřeníFormStudy language Tut. centreYearWSType of duty
2021/2022 (P6202) Economic Policy and Administration (6202V010) Finance P English Ostrava Choice-compulsory study plan
2020/2021 (P6202) Economic Policy and Administration (6202V010) Finance P English Ostrava Choice-compulsory study plan
2020/2021 (P6202) Economic Policy and Administration (6202V010) Finance K English Ostrava Choice-compulsory study plan
2019/2020 (P6202) Economic Policy and Administration (6202V010) Finance P English Ostrava Choice-compulsory study plan
2019/2020 (P6202) Economic Policy and Administration (6202V010) Finance K English Ostrava Choice-compulsory study plan
2018/2019 (P6202) Economic Policy and Administration (6202V010) Finance P English Ostrava Choice-compulsory study plan
2018/2019 (P6202) Economic Policy and Administration (6202V010) Finance K English Ostrava Choice-compulsory study plan
2017/2018 (P6202) Economic Policy and Administration (6202V010) Finance P English Ostrava Choice-compulsory study plan
2017/2018 (P6202) Economic Policy and Administration (6202V010) Finance K English Ostrava Choice-compulsory study plan
2016/2017 (P6202) Economic Policy and Administration (6202V010) Finance P English Ostrava Choice-compulsory study plan
2016/2017 (P6202) Economic Policy and Administration (6202V010) Finance K English Ostrava Choice-compulsory study plan
2015/2016 (P6202) Economic Policy and Administration (6202V010) Finance P English Ostrava Choice-compulsory study plan
2015/2016 (P6202) Economic Policy and Administration (6202V010) Finance K English Ostrava Choice-compulsory study plan
2014/2015 (P6202) Economic Policy and Administration (6202V010) Finance P Czech Ostrava Choice-compulsory study plan
2014/2015 (P6202) Economic Policy and Administration (6202V010) Finance K Czech Ostrava Choice-compulsory study plan
2014/2015 (P6202) Economic Policy and Administration (6202V010) Finance P English Ostrava Choice-compulsory study plan
2013/2014 (P6202) Economic Policy and Administration (6202V010) Finance P Czech Ostrava Choice-compulsory study plan

Occurrence in special blocks

Block nameAcademic yearForm of studyStudy language YearWSType of blockBlock owner