154-9524/01 – Financial modelling (FINMa)

Gurantor departmentDepartment of FinanceCredits10
Subject guarantorprof. Dr. Ing. Zdeněk ZmeškalSubject version guarantorprof. Dr. Ing. Zdeněk Zmeškal
Study levelpostgraduateRequirementCompulsory
YearSemesterwinter + summer
Study languageEnglish
Year of introduction2019/2020Year of cancellation
Intended for the facultiesEKFIntended for study typesDoctoral
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 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 (Black-Scholes model, binomial model of valuation), hedging strategies, application of the method Value at Risk, simulation of random processes of financial assets and portfolios, forecasting of parameters of the financial assets.

Teaching methods

Lectures
Individual consultations

Summary

Compulsory literature:

BENNINGA, Simon a Benjamin CZACZKES. Financial Modeling [CD-ROM]. 2nd ed. Cambridge: MIT Press, 2000. 622 s. ISBN 0-262-02482-9. HULL, J. C. Options, Futures, and other Derivarives. 8th ed. Prentice Hall, 2011. ZENIOS, Stavros. A. Practical Financial Optimization. Oxford: Blackwell Publishing, 2007. Doporučená

Recommended literature:

ADAMS, A. BLOOMFIELD, D. and P. BOOTH. Investment Mathematics and Statistic. Kluwer Law International, 1995. CAMPBELL, J. Y., LO, A. W. and 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 studnet

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 points
Examination Examination  
Mandatory attendence parzicipation:

Show history

Occurrence in study plans

Academic yearProgrammeField of studySpec.ZaměřeníFormStudy language Tut. centreYearWSType of duty
2020/2021 (P0412D050004) Finance P English Ostrava Compulsory study plan
2020/2021 (P0412D050004) Finance K English Ostrava Compulsory study plan
2019/2020 (P0412D050004) Finance P English Ostrava Compulsory study plan
2019/2020 (P0412D050004) Finance K English Ostrava Compulsory study plan

Occurrence in special blocks

Block nameAcademic yearForm of studyStudy language YearWSType of blockBlock owner