Financial modelling

Type of study	Doctoral
Language of instruction	English
Code	154-9524/01
Abbreviation	FINMa
Course title	Financial modelling
Credits	10
Coordinating department	Department of Finance
Course coordinator	prof. Dr. Ing. Zdeněk Zmeškal

Subject syllabus

1. Classification of stochastic processes
2. Risk measures and utility functions
3. Financial planning and sales prediction
4. Optimization in corporate finance
5. Interest rate models
6. Portfolio optimization of fixed income securities
7. Equity portfolio optimization
8. Option valuation methods
9. Statistical testing and verification in finance
10. Simulation and numerical techniques in finance
11. Uncertainty and fuzzy sets in finance
12. Artificial intelligence, neural networks, and biologically inspired algorithms in finance

Literature

BENNINGA, Simon a Benjamin CZACZKES. Financial Modeling [CD-ROM]. 2nd ed. Cambridge: MIT Press, 2000. 622 s. ISBN 0-262-02482-9.
HULL, J. C. Options, Futures, and other Derivarives. 8th ed. Prentice Hall, 2011.
ZENIOS, Stavros. A. Practical Financial Optimization. Oxford: Blackwell Publishing, 2007.
Doporučená

Advised literature

ADAMS, A. BLOOMFIELD, D. and P. BOOTH. Investment Mathematics and Statistic. Kluwer Law International, 1995.
CAMPBELL, J. Y., LO, A. W. and 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