154-9524/01 – Financial modelling (FINMa)
| Gurantor department | Department of Finance | Credits | 10 |
| Subject guarantor | prof. Dr. Ing. Zdeněk Zmeškal | Subject version guarantor | prof. Dr. Ing. Zdeněk Zmeškal |
| Study level | postgraduate | Requirement | Choice-compulsory type B |
| Year | | Semester | winter + summer |
| | Study language | English |
| Year of introduction | 2019/2020 | Year of cancellation | |
| Intended for the faculties | EKF | Intended for study types | Doctoral |
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:
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
Occurrence in study plans
Occurrence in special blocks
Assessment of instruction
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