BA_FIM Financial and Investment Mathematics

Vysoká škola finanční a správní
zima 2013
Rozsah
2/1. 10 hodin KS/semestr. 5 kr. Ukončení: zk.
Vyučující
doc. RNDr. Petr Budinský, CSc. (cvičící)
Ing. Eva Kostikov, Ph.D. (cvičící)
Garance
doc. RNDr. Petr Budinský, CSc.
Katedra financí (FES, KF) – Katedry – Vysoká škola finanční a správní
Kontaktní osoba: Lenka Pokorná
Rozvrh seminárních/paralelních skupin
BA_FIM/cBMPH: každou lichou středu 15:45–16:29 E126, každou lichou středu 16:30–17:15 E126, každou lichou středu 17:30–18:14 E126, každou lichou středu 18:15–19:00 E126, E. Kostikov
BA_FIM/pBMPH: každé sudé úterý 10:30–11:14 E230, každé sudé úterý 11:15–12:00 E230, P. Budinský
Omezení zápisu do předmětu
Předmět je otevřen studentům libovolného oboru.
Cíle předmětu
At the end of this course the student will be able to understand, explain and actively used by: The models used in managing bond portfolios; The models used in managing equity portfolio; The models used in managing derivatives portfolio; The models used for forwards and swaps
Osnova
  • 1. Statistical machinery I - Discrete and continuous random variables, the mean, variance and distribution function of a random variable. 2. Statistical machinery II - Binomial distribution, normal distribution, the parameters of normal distribution, normal distribution quantiles and confidence intervals. 3. Statistical machinery III - The sample mean and sample variance, sample covariance, sample correlation and correlation matrices. 4. Bonds I - Bond Valuation and calculation of accrued interest income, the calculation of gross and net bond price, duration and convexity bond. 5. Bonds II - Duration and convexity bond portfolio, static immunization due to interest rate risk. Comparison of portfolios with the same duration by convexity. 6. Bonds III - Static and dynamic bond portfolio immunization (open and closed fund) 7. Shares I - Valuation of shares. Market capitalization and its calculation, ratios based on share price. 8. Shares II - Equity portfolio. Markowitz model, CAPM. The performance of the equity portfolio, Sharpe, Treynor and Jensen index) 9. Derivatives I - Parameters affecting the price of futures contracts and options. Changes in the prices of options depending on these parameters. 10. Derivatives II - Parameter Delta for call and put options. Interpretation of the parameter delta. 11. Derivatives III - Delta immunization portfolio consisting of a call / put option and the underlying asset. 12. Derivatives IV - Parity put-call options. Derivation of the put-call parity, the interpretation put-call parity, the influence of different parameters on option prices using the put-call parity.
Literatura
    povinná literatura
  • J. O. Grabbe: International Financial Markets, Elsevier Sc. Publ., 1986
  • P. Budinský, P. Záškodný: Finanční a investiční matematika, Praha 2004
    doporučená literatura
  • J. Hull: Options, Futures and Other Derivative Securities, Prentice-Hall 1993
  • P. Budinský, P. Záškodný: Ekonomická statistika, Praha 2004.
  • D. Blake: Analýza finančních trhů, Grada Publ., Praha 1995
Výukové metody
eaching consists of lectures and exercises in full-time studies and controlled group consultations in the form of study. Minimum mandatory participation in exercises 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).
Metody hodnocení
During one semester is required home work aimed at calculating the net price of the bond   details found on www.patria.cz; prerequisites: at least 80%-participation in the exercises and pass the written test - 10 closed questions a), b), c), d) - passed if at least 8 correctly test conditions: successful completion of the written - 4 examples (max 20 points) - to advance to the oral exam   must reach at least 10 points and then oral
Vyučovací jazyk
Angličtina
Informace učitele
To study use the study support , which serve primarily students combined study, then watch website www.patria.cz, www.cnb.cz and www.pse.cz. The documents on this subject are located are located supportive power point presentation and course of the semester, you will find also a master class exam and model examples for testing.
Další komentáře
Předmět je dovoleno ukončit i mimo zkouškové období.
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Předmět je zařazen také v obdobích zima 2014, zima 2015, zima 2016, zima 2017, zima 2018, zima 2019, zima 2020, léto 2021, léto 2022, léto 2023, léto 2024, léto 2025.