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Financial models

Summary

Within this subject students works out selected applications of financial decision-making issues. The students are educated in formulation, solving and interpretation of practical problems from the finance and banking area using simple and more complicated tools of mathematical modelling supported by software, primarily excel.

Literature

BENNINGA, S. a B. CZACZKES. Financial Modelling. 3rd ed. The MIT Press, 2008. 1168 p. ISBN 978-02-620-2628-4.
HULL, J. C. Option, Futures and other Derivatives. 9th ed. New York: Prentice Hall, 2014. 896 p. ISBN 978-01-334-5631-8 .
ZMEŠKAL, Z. a kol. Financial models. 1. ed. Ostrava: VSB-TUO, 2004. 254 p. ISBN 80-248-0754-8.
BJÖRK, T. (2004): Arbitrage Theory in Continuous Time. Oxford University Press, 2004.
HOLTON, G. A. (2003): Value-at-Risk: Theory and Practice. Academic Press, 2003.
HULL, J. C. (2002): Options, Futures, & other Derivatives. Prentice Hall. 2002.
ZMEŠKAL, Z. et al. Financial models. VSB-TU Ostrava, 2005.

Advised literature

BENNINGA, S. Principles of Finance with Excel. 2nd ed. Oxford University Press, 2010. 816 p. ISBN 978-01-997-5547-9.
FABOZZI, F. J., S. M. FOCARDI a P. N. KOLM. Financial Modeling of the Equity Market: From CAPM to Cointegration. Wiley, 2006. 651 p. ISBN 0-471-69900-4.
HULL, J. C. Risk Management and Financial Institutions. Wiley, 2012. 672 p. ISBN 978-11-182-6903-9.
BJÖRK, T. (2004): Arbitrage Theory in Continuous Time. Oxford University Press, 2004.
HOLTON, G. A. (2003): Value-at-Risk: Theory and Practice. Academic Press, 2003.
HULL, J. C. (2002): Options, Futures, & other Derivatives. Prentice Hall. 2002.
ZMEŠKAL, Z. et al. Financial models. VSB-TU Ostrava, 2005.


Language of instruction angličtina, angličtina
Code 154-0525
Abbreviation FM
Course title Financial models
Coordinating department Department of Finance
Course coordinator doc. Ing. Aleš Kresta, Ph.D.