Financial models

Type of study	Follow-up Master
Language of instruction	English
Code	154-0525/04
Abbreviation	FM
Course title	Financial models
Credits	6
Coordinating department	Department of Finance
Course coordinator	doc. Ing. Aleš Kresta, Ph.D.

Subject syllabus

1. Simulation and optimization of the company financial plan
2. Stochastic optimization models
3. Optimization with application in the corporate finance
4. Optimization of the financial assets portfolio (I)
5. Optimization of the financial assets portfolio (II)
6. Yield curves and credit risk
7. Optimization of the bonds portfolio (active strategy)
8. Optimization of the bonds portfolio (passive strategy)
9. Management and optimization of assets and liabilities in banking institutions
10. Financial variables forecasting
11. Methods of technical analysis
12. Options pricing models and their application (discrete models, binomial model)
13. Options pricing models and their application (continuous models, Black-Scholes model)
14. Advanced methods of hedging

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. .
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.

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