D_DH Derivatives Hedging

University of Finance and Administration
Winter 2016
Extent and Intensity
1/1. 10 credit(s). Type of Completion: DZk (doctoral examination).
Teacher(s)
doc. RNDr. Petr Budinský, CSc. (lecturer)
Guaranteed by
doc. RNDr. Petr Budinský, CSc.
Department of Finance – Departments – University of Finance and Administration
Contact Person: Lenka Pokorná
Course Enrolment Limitations
The course is offered to students of any study field.
Course objectives
The subject comes from the area of ​​financial derivatives and their use in   portfolios. Describes the creation of portfolios, using forward contracts and short and long positions in   call and put options. Through evaluative hedging allows the creation of static hedging schemes and their active management through dynamic hedging schemes. The outlet of the course will consist addition to providing portfolios also describe possible algorithms   derivative hedging.
Syllabus
  • Subject contains thematic units: portfolio and its selection - the role of hedging; methodology hedging positions forward contracts and options; fixed ratio and ensuring the role of discrete and continuous models; creation of static hedging schemes δ; dynamic hedging schemes δ; creation of static hedging schemes γ; dynamic hedging schemes γ; programming of relevant financial models.
Literature
    required literature
  • Málek, J.: Dynamika úrokových měr a úrokové deriváty. Praha: Grada, 2005.
  • Budinský, P., Záškodný, P.: Finanční a investiční matematika. Praha: VŠFS – Eupress, 2004.
  • Dvořák, P.: Deriváty. Praha: Oeconomica, 2003.
  • Fitzgerald, M. D.: Financial Options. London: Euromoney Publications, 1987.
  • Jílek, J.: Finanční a komoditní deriváty v praxi. Praha: Grada, 2005.
  • Záškodný, P.: Programový algoritmus opčního hedgingu. Ostrava: Didaktický institut, 1998.
  • Pavlát,V., Budík, J., Kubíček, A., Novák, V., Záškodný, P.: Kapitálové trhy. Praha: Professional Publishing, 2005.
Teaching methods
One semester, elective course with a range of 1 hour lectures and 1 hour seminar PS for a week and 12 hours per semester group consultations for KS. During the study process the doctoral seminar work. Students who do not meet the requirements for participation in education may be awarded during the semester additional study obligations (to the extent that you demonstrate academic achievement and gained competencies necessary for successful completion of course).
Assessment methods
Course completion: DDZk and StDZk component in a given semester. Processed essay which may take forms such subchapter doctoral thesis will be evaluated as part of the oral DDZk.
Language of instruction
Czech
Further comments (probably available only in Czech)
The course can also be completed outside the examination period.
General note: Předmět doktorského studia, 0.
Information on the extent and intensity of the course: 12 hodin KS/semestr.
The course is also listed under the following terms Summer 2011, Winter 2011, Winter 2013, Winter 2014, Winter 2015, Winter 2017, Winter 2018, Winter 2019, Winter 2020, Winter 2021, Winter 2022, Winter 2023, Winter 2024.
  • Enrolment Statistics (Winter 2016, recent)
  • Permalink: https://is.vsfs.cz/course/vsfs/winter2016/D_DH