Thesis (Selection of subject)Thesis (Selection of subject)(version: 368)
Thesis details
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Finanční deriváty
Thesis title in Czech: Finanční deriváty
Thesis title in English: Financial derivatives
Academic year of topic announcement: 2006/2007
Thesis type: diploma thesis
Thesis language: čeština
Department: Department of Probability and Mathematical Statistics (32-KPMS)
Supervisor: doc. RNDr. Jan Hurt, CSc.
Author: hidden - assigned and confirmed by the Study Dept.
Date of registration: 30.01.2007
Date of assignment: 30.01.2007
Date and time of defence: 10.02.2009 00:00
Date of electronic submission:10.02.2009
Date of proceeded defence: 10.02.2009
Opponents: RNDr. Lucie Mazurová, Ph.D.
 
 
 
Guidelines
Diplomant pojedná o finančních derivátech (včetně exotických) a o způsobech jejich hodnocení. Uvede příklady jejich užití k zajišťování a konstrukci portfolií s požadovanou výplatní funkcí. Výsledky bude numericky ilustrovat.
References
[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.


Preliminary scope of work
Hodnocení finančních derivátů
Preliminary scope of work in English
Valuation of financial derivatives
 
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