Thesis (Selection of subject)Thesis (Selection of subject)(version: 368)
Thesis details
   Login via CAS
Kvantitativní metody ve financích
Thesis title in thesis language (Slovak): Kvantitativní metody ve financích
Thesis title in Czech: Kvantitativní metody ve financích
Thesis title in English: Quantitative methods in finance
Key words: rizikový faktor, miera rizika, Value at Risk, Conditional Value at Risk, kopula funkcia
English key words: risk factor, risk measure, Value at Risk, Conditional Value at Risk, copula function
Academic year of topic announcement: 2011/2012
Thesis type: Bachelor's thesis
Thesis language: slovenština
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: 05.10.2011
Date of assignment: 24.10.2011
Confirmed by Study dept. on: 15.12.2011
Date and time of defence: 03.09.2012 00:00
Date of electronic submission:02.08.2012
Date of submission of printed version:02.08.2012
Date of proceeded defence: 03.09.2012
Opponents: RNDr. Jitka Zichová, Dr.
 
 
 
Guidelines
Bude pojednáno o vybraných metodách hodnocení cenných papírů, viz [8]. Postupy budou algoritmizovány a na reálných datech ilustrovány.
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.
[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.
Preliminary scope of work
Kvantitativní metody ve financích
Preliminary scope of work in English
Quantitative methods in finance
 
Charles University | Information system of Charles University | http://www.cuni.cz/UKEN-329.html