B_FIM Financial and Investment Mathematics

University of Finance and Administration
Winter 2017
Extent and Intensity
2/1/0. 5 credit(s). Type of Completion: zk (examination).
Teacher(s)
doc. RNDr. Petr Budinský, CSc. (seminar tutor)
RNDr. Ivan Havlíček, CSc. (seminar tutor)
PaedDr. Renata Majovská, PhD. (seminar tutor)
Guaranteed by
doc. RNDr. Petr Budinský, CSc.
Department of Computer Science and Mathematics – Departments – University of Finance and Administration
Contact Person: Ivana Plačková
Timetable of Seminar Groups
B_FIM/cR1PH: each even Wednesday 14:00–14:44 E228, each even Wednesday 14:45–15:30 E228, I. Havlíček
B_FIM/cR2PH: each odd Wednesday 8:45–9:29 E227, each odd Wednesday 9:30–10:15 E227, I. Havlíček
B_FIM/pRPH: Tue 14:00–14:44 E007KC, Tue 14:45–15:30 E007KC, P. Budinský
B_FIM/vRPH: Fri 6. 10. 15:45–17:15 E122, Sat 21. 10. 9:45–11:15 E225, 11:30–13:00 E225, Fri 3. 11. 14:00–15:30 E122, 15:45–17:15 E122, I. Havlíček
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 understand and explain simple and compound interest. They will also acquire knowledge on the calculation of the basic characteristics of bonds (yield, price, duration, convexity), learn to build the portfolio of equities and derivatives  . At the end of this course the student will be able to:
- Explain the concepts of interest, annual interest rate
- Describe different types and kinds of interest
- Calculate the future and present value of the investment and its return
- Explain the concept of bond, including the rules for counting and valuation
- Explain and calculate the duration
- Explain the principles of neutralization bond portfolio
- Establish a portfolio composed of two bonds
- Explain the principles of the derivatives and their use
- Describe the basic strategy of investing in portfolios
Syllabus
  • 1. Interest and annual interest rate. Simple and compound interest, frequency of compounding. Continuous compounding.
  • 2. Interest rate and yield, present and future value, principle of discounting. Calculation of present value of an investment.
  • 3. Yield calculation for given present and future value, recalculation of yields for different frequencies of compounding.
  • 4. Classification of bonds. The nominal value of the bond, coupon rate, bond yield to maturity. Calculation of bond price for zero-coupon-bond, annuity and perpetuity.
  • 5. Rules for bonds calculations. Relationship between bond price and yield. Relationship between coupon rate and bond yield.
  • 6. Accrued interest, gross and clean price of the bond. Calculation of clean price of the bond.
  • 7. Sensitivity of bond prices to changes in yields. Modified and Macaulay duration, convexity.
  • 8. Bond duration and convexity properties. Calculation of bond duration and convexity.
  • 9. Investing in the bonds. Reinvestment and capital risk. Duration and investment horizon.
  • 10. Bond portfolio, its duration and convexity. Construction of bond portfoliofor given duration equal to the investment horizon.
  • 11. Derivatives Portfolio I - forward contracts and options, basic graphs of profits depending on the price of the underlying asset.
  • 12. Derivatives Portfolio II - strategies as spread, combination and hedging.
Literature
    required literature
  • Budinský, P. - Záškodný, P. Finanční a investiční matematika. Praha : VŠFS, 2004.
Teaching methods
- lectures and seminars in full-time study, - tutorials in part-time study, Minimal required participation is 75% on seminars in full-time study and 50% on tutorials in part-time study. Students with lower than required participation have to fulfill additional study duties.
Assessment methods
Method write endings class exam and 75% participation in exercises, to try to be successful (50% correct answers) write exam exam, and do an oral exam.
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: 10 hodin KS/semestr.
The course is also listed under the following terms Winter 2007, Summer 2008, Winter 2008, Summer 2009, Winter 2009, Summer 2010, Winter 2010, Summer 2011, Winter 2011, summer 2012, Winter 2012, Winter 2013, Winter 2014, Winter 2015, Winter 2016, Winter 2018, Winter 2019, Winter 2020, Summer 2021, Summer 2022, Summer 2023, Summer 2024, Summer 2025.
  • Enrolment Statistics (Winter 2017, recent)
  • Permalink: https://is.vsfs.cz/course/vsfs/winter2017/B_FIM