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
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 |
Osnova předmětu
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
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
Povinná literatura
Doporučená literatura
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.
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.