N_OFI Financial Investments Valuation

University of Finance and Administration
Summer 2024
Extent and Intensity
2/2/0. 6 credit(s). Type of Completion: zk (examination).
Teacher(s)
doc. RNDr. Petr Budinský, CSc. (seminar tutor)
Guaranteed by
doc. RNDr. Petr Budinský, CSc.
Department of Finance – Departments – University of Finance and Administration
Contact Person: Dita Egertová
Timetable of Seminar Groups
N_OFI/vFPH: Fri 2. 2. 14:00–15:30 E230, 15:45–17:15 E230, Fri 1. 3. 14:00–15:30 S22, 15:45–17:15 S22, Fri 15. 3. 14:00–15:30 S22, 15:45–17:15 S22, P. Budinský
Prerequisites
There are no prerequisites for this course.
Course Enrolment Limitations
The course is offered to students of any study field.
Course objectives
At the end of this course the student will be able to navigate the   evaluation issues various types of financial investments (bonds, equities, commodities, derivatives)   with an emphasis on practical application in   the current market environment. He will be able to explain the economic context setting key interest rates in the economy  , auction principles of pricing of treasury bills and government bonds and market principles in the listing money market rates. Get method for determination of discount factors and practice using them in determining the current market price of future cash flows from the investments is     regard to their taxation. Students will be able to explain the process for determining the yield curves and individual sub-components of interest rates. To evaluate the predictive ability of forward rates as their back-testing. Clarify the different methodologies for valuation of shares with dividend   emphasis on models and CAPM method. Derive the correct rate swaps and forward rate agreements, fair odds currency swaps and forward contracts and commodity prices right and equity forwards and options. Explain potential arbitration as a risk-free return. The course is designed in part as a follow up to block a recapitulation of financial subjects taught in the   field management. Graduates will use knowledge gained primarily at work in   financial management, but also in financial institutions, possibly in the area of ​​business valuation or trading in financial markets.
Syllabus
  • 1. Main interest rates and their correlation, bond yields.
  • 2. Rating and its effect on the price of bonds. Principles of valuation of bonds in different types of auctions.
  • 3. Yield curve. Forward curve and its derivation from the yield curve. Swap curve.
  • 4. Spot and forward exchange rates, interest rate parity.
  • 5. Interest rate, currency and time swaps.
  • 6.Shares and principles of their valuation in the IPO. Ratios based on the share price.
  • 7. Forward contracts and futures contracts. Principles determining forward prices.
  • 8. Commodity futures and their valuation. The main types of commodities.
  • 9. Valuation of call and put options on the basis of an alternative distribution. Calculation of delta parameters in this model.
  • 10. Discrete option pricing model. Binomial tree for stock prices, option pricing using the binomial distribution.
  • 11. Continuous option pricing model. Delta parameter calculation in this model.
  • 12. Continuous option pricing model. Delta parameter calculation in this model.
Literature
    required literature
  • Tregler, K. – Oceňování akciových trhů, C. H. Beck, 2005
  • Budinský, P. - Záškodný, P. Finanční a investiční matematika. Praha : VŠFS, 2004. info
  • Ambrož, L., Oceňování opcí, C. H. Beck, 2002
  • Cipra, T. – Matematika cenných papírů, HZ, 2000
Teaching methods
Teaching takes the form / lectures / seminars / workshops / full-time study / group consultations and managed in the form of study. Minimum mandatory attendance at seminars / workshops in full-time studies is 75%, the controlled group consultations in combined form 50%. Students who fail to meet the mandatory level of participation may be given during the semester additional study obligations (to the extent that will demonstrate academic achievement and acquired competencies necessary for successful completion of course).
Assessment methods
Lectures   points for participation and activity. Exercise with   points for participation and activity, with   practical applications and models online obtaining market information from the internet  . Scoring homework in   Following the practice test quiz and are a prerequisite for the allocation of credit resp.přihlášení the exam. The course is completed with a written, respectively. oral examination.
Language of instruction
Czech
Further comments (probably available only in Czech)
The course can also be completed outside the examination period.
Information on the extent and intensity of the course: 12 hodin KS/semestr.
The course is also listed under the following terms Winter 2007, Winter 2008, Winter 2009, Winter 2010, Summer 2011, Winter 2011, Winter 2012, Summer 2016, Summer 2017, Summer 2018, Summer 2019, Summer 2020, Summer 2021, Summer 2022, Summer 2023, Summer 2025.
  • Enrolment Statistics (Summer 2024, recent)
  • Permalink: https://is.vsfs.cz/course/vsfs/summer2024/N_OFI