| Course Unit Code | 154-0325/02 |
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| Number of ECTS Credits Allocated | 6 ECTS credits |
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| Type of Course Unit * | Compulsory |
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| Level of Course Unit * | Second Cycle |
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| Year of Study * | First Year |
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| Semester when the Course Unit is delivered | Summer Semester |
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| Mode of Delivery | Face-to-face |
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| Language of Instruction | Czech |
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| Prerequisites and Co-Requisites | |
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| Prerequisities | Course Unit Code | Course Unit Title |
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| 154-0323 | Financial Decision-Making under Risk |
| Name of Lecturer(s) | Personal ID | Name |
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| ZME40 | prof. Dr. Ing. Zdeněk Zmeškal |
| Summary |
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| Teaching and practicing students in formulation, solving and interpreting practical problems from the finance and banking area using simple and more complicated tools of mathematical modelling supported by software, primarily excel. |
| Learning Outcomes of the Course Unit |
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| The course aims at improvement of students’ ability to formulate, solve and subsequently interpret and evaluate real financial and banking issues by means of both, basic and advance approaches of mathematical modeling by means of software tools, mainly on MS Excel basis. |
| Course Contents |
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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
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| Recommended or Required Reading |
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| Required Reading: |
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BENNINGA, Simon and Benjamin CZACZKES. Financial Modelling. 3rd ed. The MIT Press, 2008. p. 1168. ISBN 978-0262026284.
HULL, John C. Options, Futures and other Derivatives. 8th ed. Prentice Hall, 2011. p. 864. ISBN 978-0132777421.
ZMEŠKAL, Zdeněk a kol. Finanční modely. 2. vyd. Praha: Ekopress, 2004. 236 s. ISBN 80-86119-87-4.
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BENNINGA, Simon and Benjamin CZACZKES. Financial Modelling. 3rd ed. The MIT Press, 2008. p. 1168. ISBN 978-0262026284.
HULL, John C. Options, Futures and other Derivatives. 8th ed. Prentice Hall, 2011. p. 864. ISBN 978-0132777421.
ZMEŠKAL, Zdeněk a kol. Finanční modely. 2. vyd. Praha: Ekopress, 2004. 236 s. ISBN 80-86119-87-4.
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| Recommended Reading: |
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BENNINGA, Simon. Principles of Finance with Excel. 2nd ed. Oxford University Press, 2010. p. 816. ISBN 978-0199755479.
FABOZZI, F. J., S. M. FOCARDI and P. N. KOLM. Financial Modeling of the Equity Market: From CAPM to Cointegration. Wiley, 2006. p. 651. ISBN 0-471-69900-4.
HULL, John C. Risk Management and Financial Institutions. Wiley, 2012. p. 672. ISBN 978-1118269039. |
BENNINGA, Simon. Principles of Finance with Excel. 2nd ed. Oxford University Press, 2010. p. 816. ISBN 978-0199755479.
FABOZZI, F. J., S. M. FOCARDI and P. N. KOLM. Financial Modeling of the Equity Market: From CAPM to Cointegration. Wiley, 2006. p. 651. ISBN 0-471-69900-4.
HULL, John C. Risk Management and Financial Institutions. Wiley, 2012. p. 672. ISBN 978-1118269039.
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| Planned learning activities and teaching methods |
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| Lectures, Tutorials |
| Assesment methods and criteria |
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| Task Title | Task Type | Maximum Number of Points
(Act. for Subtasks) | Minimum Number of Points for Task Passing |
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| Credit and Examination | Credit and Examination | 100 (100) | 51 |
| Credit | Credit | 35 (35) | 18 |
| Písemka | Written test | 35 | 18 |
| Examination | Examination | 65 (65) | 33 |
| Písemka | Written test | 20 | 10 |
| Ústní zkouška | Oral examination | 45 | 23 |