Course: Quantitative Finance

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Course title Quantitative Finance
Course code KEM/KF
Organizational form of instruction Lecture + Lesson
Level of course Master
Year of study not specified
Semester Winter and summer
Number of ECTS credits 5
Language of instruction Czech
Status of course Optional
Form of instruction Face-to-face
Work placements This is not an internship
Recommended optional programme components None
Lecturer(s)
  • Gangur Mikuláš, Doc. RNDr. Ph.D.
  • Lukáš Ladislav, Doc. RNDr. Ing. CSc.
Course content
- Time structure of interest rates. - Introduction to actuarial models. - Binomial model, pricing of more complex products - Construction of with-profit products - Optimization models - ALM - Securitization.

Learning activities and teaching methods
Lecture with practical applications, Practicum
  • Contact hours - 52 hours per semester
  • Preparation for an examination (30-60) - 60 hours per semester
  • Individual project (40) - 20 hours per semester
prerequisite
professional knowledge
The course supposes the knowledge of elementary financial calculations.
learning outcomes
Student is able to: - structure a portfolio using sophisticated tools of financial engineering (IR swaps, caps, floors) - formulate and solve a simple ALM (asset-liability management) problem - design a securitized product - get basics of sw Mathematica acquainted.
teaching methods
Practicum
Lecture with practical applications
assessment methods
Written exam
Recommended literature
  • BRADA, J. Teorie portfolia. 1. vyd. Praha : Vysoká škola ekonomická, 1996. ISBN 80-7079-259-0.
  • CAMPBELL, J., LO, A., MACKINLEY, C. The Econometrics of Financial Markets. Princeton : University Press, 1997.
  • DOWD, K. Measuring Market Risk. Hoboken : Wiley, 2005.
  • MÁLEK, J. Řízení finančních rizik. Praha : VŠE, 2003.


Study plans that include the course
Faculty Study plan (Version) Branch of study Category Recommended year of study Recommended semester
Faculty of Economics Information Systems Management (2013) Economy 2 Winter