Kvantitativní metody ve financích

• Název práce v jazyce práce (slovenština): Kvantitativní metody ve financích
• Název práce v češtině: Kvantitativní metody ve financích
• Název v anglickém jazyce: Quantitative methods in finance
• Klíčová slova: rizikový faktor, miera rizika, Value at Risk, Conditional Value at Risk, kopula funkcia
• Klíčová slova anglicky: risk factor, risk measure, Value at Risk, Conditional Value at Risk, copula function
• Akademický rok vypsání: 2011/2012
• Typ práce: bakalářská práce
• Jazyk práce: slovenština
• Ústav: Katedra pravděpodobnosti a matematické statistiky (32-KPMS)
• Vedoucí / školitel: doc. RNDr. Jan Hurt, CSc.
• Řešitel: skrytý - zadáno a potvrzeno stud. odd.
• Datum přihlášení: 05.10.2011
• Datum zadání: 24.10.2011
• Datum potvrzení stud. oddělením: 15.12.2011
• Datum a čas obhajoby: 03.09.2012 00:00
• Datum odevzdání elektronické podoby: 02.08.2012
• Datum odevzdání tištěné podoby: 02.08.2012
• Datum proběhlé obhajoby: 03.09.2012
• Oponenti: RNDr. Jitka Zichová, Dr.

Zásady pro vypracování

Bude pojednáno o vybraných metodách hodnocení cenných papírů, viz [8]. Postupy budou algoritmizovány a na reálných datech ilustrovány.

Seznam odborné literatury

[1] Dupačová, J., Hurt, J., Štěpán, J.: Stochastic Modeling in Economics and Finance. Kluwer Academic Publishers. Dordrecht 2002.
[2] Hull, J.C.: Options, Futures, and other Derivative Securities. 4th ed., Prentice-Hall. Upper Saddle Rive 2000.
[3] Shaw, W.: Modeling Financial Derivatives with Mathematica. Cambridge University Press. Cambridge 1998.
[4] Morgan, J. P., Reuters: RiskMetrics – Technical Document. 4th ed., Morgan Guaranty Trust Company. New York 1996.
[5] Hurt, J.: Simulační metody. Skripta SPN. Praha 1982.
[6] Fuchs, K.: Hodnocení portfolia opcí. Diplomová práce. UK MFF Praha 2003.
[7] Luenberger, D. G.: Investment Science. Oxford University Press. New York 1998.
[8] Haerdle, W., Kleinow, T., Stahl, G.: Applied Quantitative Finance.Springer. Berlin 2002.
[9] Seydel, R.: Tools for Computational Finance. Springer. Berlin 2002.
[10] Gamerman, D.: Markov Chain Monte Carlo. Chapman & Hall. London 1997.
[11] Credit Suisse Financial Products. Credit Risk+. Credit Suisse First Boston. www.csfb.com/creditrisk. 1997.
[12] Bluhm, C. et al.: Credit Risk Modeling. Chapman & Hall/CRC. Boca Raton 2003.
[13] Schoenbucher, P. J.: Credit Derivatives Pricing Models. Wiley. Chichester 2003.
[14] Glasserman, P.: Monte Carlo Methods in Financial Engineering. Springer. New York 2004.
[15] Boyle, P. et al.: Monte Carlo Methods for Security Pricing. In: Option Pricing, Interest Rates and Risk Management. Jouni, E. et al., eds. Springer. New York 2004. 185 - 238.
[16] Varian, H. R. (ed.): Computational Economics and Finance. Modeling and Analysis with Mathematica. Springer-TELOS. New York 1996.
[17] Pflug, G. Ch.: Some remarks on the Value-at-Risk and the conditional Value-at-Risk. To appear.
[18] Krokhmal, P. et al. (eds.): Risk Management and Optimization in Finance. Special Issue. J. of Banking & Finance 30, February 2006.
[19] Wolfram, S.: The Mathematica Book. 5th ed. Wolfram Media. Champaign (IL) 2003.
[20] Dahlstedt, R. a kol.: On the usefulness of standard industrial classifications in comparative financial statement analysis. European Journal of Operational Research 79 (1994). 230-238.
[21] Wolfram, S.: Mathematica v. 6.0.3. Help/tutorial/PartitioningDataIntoClusters.
[22] Hurt, J.: Risk measures in finance. In: 2008 International Mathematica User Conference. http://library.wolfram.com/infocenter/Conferences/7230/. Champaign (IL) 2008.
[23] Franke, J., Haerdle, W., Hafner, Ch.: Statistics of Financial Markets. Springer. Berlin 2004.
[24] Cipra, T.: Finanční ekonometrie. Ekopress. Praha 2008.
[25] Tibilleti, L.: The Incremental VaR. In: Kohlmann, M., Tang, S. (eds): Mathematical Finance. Birkaeuser. Basel 2001. pp. 355-364.
[26] Baník, P.: Metody optimalizace ve financích. Diplomová práce. UK MFF Praha 2008.
[27] Brigham, E. F.: Fundamentals of Financial Management. 6th edition. The Dryden Press. Forth Worth 1992.
[28] Brigo, D., Mercurio, F.: Interest Rate Models. Springer. Berlin 2001.
[29] http://www.moodyskmv.com/
[30] Vetzal, K. R. (1994): A survey of stochastic continuous time models of term structure of interest rates. Insurance: Mathematics and Economics, Volume 14, Issue 2, May 1994, Pages 139-161.
[31] Jeffrey T. Tsai, Jennifer L. Wang, Larry Y. Tzeng: On the optimal product mix in life insurance companies using conditional value at risk. Insurance: Mathematics and Economics, Volume 46, Issue 1, February 2010, Pages pp. 235-241.
[32] Hansen, L.P., 1982. Large sample properties of generalized method of moments estimators. Econometrica 50 (4), 1029-1054.
[33] Ross, Sheldon M.: An Elementary Introduction to Mathematical Finance. 2nd edition. Cambridge University Press. Cambridge 2003.
[34] Cipra, T.: Financial and Insurance Formulas. Springer-Verlag. Berlin 2010.
[35] Trindade, A. A., Zhu, Yun (2007): Approximating the distributions of estimators of financial risk under an asymmetric Laplace law. Computational Statistics & Data Analysis, Vol. 51, pp. 3433-3447.
[36] Song, Y., Yan, J. (2009): Risk measures with comonotonic subaditivity or convexity and respecting stochastic orders. Insurance: Mathematics and Economics. Vol. 45, pp. 459-465.
[37] Inui, K., Kijima, M. (2005): On the significance of expected shortfall as a coherent risk measure. J. of Banking and Finance, Vol. 29, pp. 853-864.
[38] Gzyl, H., Mayoral, S. (2008): Determination of risk pricing measures from market prices of risk. Insurance: Mathematics and Economics. Vol. 43, pp. 437-443.
[39] Dowd, K., Cairns, A. J. G., Blake, D. (2006): Mortality-dependent financial risk measures. Insurance: Mathematics and Economics. Vol. 38, pp. 427-440.
[40] Eling, M., Tibiletti, L. (2010) Internal vs. external risk measures: How capital requirements differ in practice. Opererations Research Letters. doi: 10.1016/j.orl.2010.05.003
[41] Kuan, Chung-Ming, Yeh, Jin-Huei, Hsu, Yu-Chin (2009): Assesing value at risk with CARE, the Conditional Autoregressive Expectile models. Journal of Econometrics. Vol. 150, pp. 261-270.
[42] de Melo Mendes B. V., de Souza, R. M. (2004): Measuring financial risks with copulas. Int. Rev. Financ. Analy., Vol 13, pp. 27-45.
[43] Cheng, G., Ping, L., Shi, P. (2007): A new algorithm based on copulas for VaR valuation with empirical calculations. Theoretical Computer Science. Vol. 378, pp. 190-197.
[44] Hurt, J.: Risk measures in finance revisited. In: Wolfram Technology Conference 2010. http://www.wolfram.com/events/techconf2010/presentations/JanHurt.zip
[45] Wolfram, S. (2010): Mathematica version 8. Software Help & Tutorial guide/Finance.
[46] Dempster, M. A. H., Mitra, G., Pflug, G. (eds.): Quantitative Fund Management. CRC Press. Boca Raton 2009.
[47] Hurt, J.: Optimal portfolios on (in)efficient markets. Wolfram Technology Conference 2011. To appear.

Předběžná náplň práce

Kvantitativní metody ve financích

Předběžná náplň práce v anglickém jazyce

Quantitative methods in finance