Financial modelling

Course aims

The aim of this course is to master the solution and interpretation of problems in finance and banking through mathematical modeling tools. The course is focused on financial planning, modern portfolio theory, models of management and optimization of bond portfolio and portfolio of assets and liabilities in banking institutions, application of technical analysis tools, capital asset pricing models, option pricing models (Black-Scholes model, binomial pricing model), hedging strategies, application of the Value at Risk method, simulation of random processes of financial assets and portfolios, forecasting of financial asset parameters.

Literature

ALEXANDER, C. Market Risk Analysis. Volume I – IV. Chichester: Wiley, 2008.
HULL, J. C. Options, Futures, and other Derivarives. 8th ed. Prentice Hall, 2011.
ZENIOS, Stavros. A. Practical Financial Optimization. Oxford: Blackwell Publishing, 2007.

Advised literature

ADAMS, A. BLOOMFIELD, D. and P. BOOTH. Investment Mathematics and Statistic. Kluwer Law International, 1995.
CAMPBELL, J. Y., A. W. LO, a A. C. MACKINLAY. The Econometrics of Financial Markets. Princeton University Press, 1997.
DUFFIE, Darrell. Security Markets - Stochastic Models. Academic Press, Incorporation, 1988.

back to search page

Language of instruction	čeština
Code	154-0924
Abbreviation	FINM
Course title	Financial modelling
Coordinating department	Department of Finance
Course coordinator	prof. Dr. Ing. Zdeněk Zmeškal