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Last update: RNDr. Jitka Zichová, Dr. (10.05.2017)
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Last update: T_KPMS (16.05.2013)
To teach students advanced topics of financial management. |
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Last update: RNDr. Jitka Zichová, Dr. (23.04.2018)
Written exam. |
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Last update: doc. RNDr. Jan Hurt, CSc. (09.10.2017)
[1] Dupačová, J., Hurt, J., Štěpán, J.: Stochastic Modeling in Economics and Finance. Kluwer Academic Publishers. Dordrecht 2002.
[2] Cipra, T.: Finanční ekonometrie. Ekopress, Praha 2008.
[3] Cipra, T.: Matematika cenných papírů. Kamil Mařík Professional Publishing. Praha 2013.
[4] Hurt, J.: Yield curves with Mathematica 6.0. In: Wolfram Technology Conference 2007. http://library.wolfram.com/infocenter/Conferences/6956/ . Champaign (IL) 2007.
[5] Hurt, J.: Risk measures in finance. In: 2008 International Mathematica User Conference. http://library.wolfram.com/infocenter/Conferences/7230/. Champaign (IL) 2008.
[6] Hurt, J.: Risk measures in finance revisited. In: Wolfram Technology Conference 2010. http://library.wolfram.com/infocenter/Conferences/7861/ . Champaign (IL) 2010.
[7] Sciencedirect: http://www.sciencedirect.com/
[8] Mathematica Cookbook
[9] Luenberger, D.: Investment Science. Oxford University Press. New York 1998.
[10] Hurt, J.: Finanční management. Přednáška MFF UK. http://www.karlin.mff.cuni.cz/~hurt/Financni_management_prednaska.nb
[11] Brigham, E. F.: Fundamentals of Financial Management. Dryden Press. 6th edition Fort Worth 1992. Chapter 7, The Cost of Capital.
[12] Cipra, T.: Financial and Insurance Formulas. Springer-Verlag. Berlin Heidelberg 2010.
[13] Cipra, T.: Riziko ve financích a pojišťovnictví: Basel III a Solvency II. Ekopress. Praha 2015. |
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Last update: RNDr. Jitka Zichová, Dr. (23.04.2018)
Lecture. |
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Last update: doc. RNDr. Jan Hurt, CSc. (09.10.2017)
The exam is in written form comprising both examples and theoretical problems arising from the Syllabus. In case of ambiguities an oral explanation is requried. |
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Last update: doc. RNDr. Jan Hurt, CSc. (09.10.2017)
Markowitz theory of portfolio. Optimal portfolio. Capital asset pricing model. Security market line. Capital market line. Term structure of interest rates. Yield curves and their construction. Risk measures: value at risk (VaR), conditional value at risk (CVaR), spectral risk measures, expectiles. Matching of assets and liabilities: matching and immunization, dedicated bond portfolio, stochastic model. Arbitrage pricing theory: regression model, factor model. Stochastic models of interest rates and price development: discretization and estimation. |
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Last update: doc. RNDr. Jan Hurt, CSc. (15.05.2019)
Calculus. Matrix calculus. Elementary probability. Linear regression. Basics of financial mathematics. Elements of Markowitz mean-variance portfolio theory. |