Subjects

Your browser does not support JavaScript, or its support is disabled. Some features may not be available.

Advanced Topics of Financial Management - NMFM507

Title:	Pokročilé partie finančního managementu
Guaranteed by:	Department of Probability and Mathematical Statistics (32-KPMS)
Faculty:	Faculty of Mathematics and Physics
Actual:	from 2014 to 2015
Semester:	winter
E-Credits:	2
Hours per week, examination:	winter s.:2/0, Ex [HT]
Capacity:	unlimited
Min. number of students:	unlimited
4EU+:	no
Virtual mobility / capacity:	no
State of the course:	taught
Language:	Czech
Teaching methods:	full-time
Teaching methods:	full-time

Guarantor:	doc. RNDr. Jan Hurt, CSc.
Class:	M Mgr. FPM M Mgr. FPM > Povinné
Classification:	Mathematics > Financial and Insurance Math.
Co-requisite :	NMST537
Pre-requisite :	NMFM408, NMSA409

Opinion survey results Examination dates Schedule Noticeboard

Annotation -

Last update: RNDr. Jitka Zichová, Dr. (10.05.2017)

Analysis of risk measures and their applications in finance and insurance. Matching of assets and liabilities. Arbitrage pricing theory. Stochastic models of financial assets. The lectures may be read in English.

Aim of the course -

Last update: T_KPMS (16.05.2013)

To teach students advanced topics of financial management.

Literature - Czech

Last update: RNDr. Jitka Zichová, Dr. (10.05.2017)

Cipra, T.: Finanční ekonometrie. Ekopress, Praha 2008.

Dupačová, J., Hurt, J., Štěpán, J.: Stochastic Modeling in Economics and Finance. Kluwer Academic Publishers. Dordrecht 2002.

Hurt, J.: Risk measures in finance. In: 2008 International Mathematica User Conference. . Champaign (IL) 2008.

Hurt, J.: Risk measures in finance revisited. In: Wolfram Technology Conference 2010. . Champaign (IL) 2011.

Teaching methods -

Last update: doc. RNDr. Jan Hurt, CSc. (09.10.2017)

Lecture.

Syllabus -

Last update: RNDr. Jitka Zichová, Dr. (10.05.2017)

Term structure of interest rates. Yield curves. Risk measures: Value at Risk, Conditional Value at Risk, spectral 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 developments: discretization and estimation methods.