Course: Fundamentals of Capital Market Analysis

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Course title Fundamentals of Capital Market Analysis
Course code KEM/ZAKT
Organizational form of instruction Lecture + Lesson
Level of course Master
Year of study not specified
Semester Winter and summer
Number of ECTS credits 4
Language of instruction Czech
Status of course Compulsory, Compulsory-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.
Course content
- The basic concepts of interest theory, define the concept of interest intensity, cumulative factor and its determination. - The calculation of interest rates, cash flows as random quantity, the concept of expected value and its determination as mean value, present the using variability as the level of risk, the principle of (sigma,i) plane. - Evaluation of the projects with random characteristics, and using of random processes in evaluation on capital market. - The basic concepts of bonds (market price, fair price, AIR), yield to maturity (YTM), process of price calculation in coupon and between coupons. - The yield curves and their using on market, the analysis of bond according to return, risk and arbitration, the concept of bond duration and convexity and the using in portfolio immunization. - The basic concepts on stock market (stock price, nominal value, market price, fair value), dividend return and capital return, stock analysis according to return and risk. - The different process of trend in price analysis (fundamental, technical and psychology), different models of stock pricing and the examples of trade systems. - The basic concepts of financial derivatives and their using (forwards, futures, spots and warrants) - The principles of options, the process of options pricing with binomial model, the Black-Scholes's model, and basic combinative strategies in options portfolio construction. - The basic concepts of portfolio theory, the relation return-risk, the using of covariance and correlative coefficients in portfolio construction, Markowitz's model, construction of stocks market line, capital pricing model, capital markets indices and their construction.

Learning activities and teaching methods
Lecture with practical applications, E-learning, Discussion, Students' portfolio
  • unspecified - 26 hours per semester
  • Contact hours - 39 hours per semester
  • Preparation for comprehensive test (10-40) - 20 hours per semester
  • Preparation for an examination (30-60) - 40 hours per semester
  • Presentation preparation (report) (1-10) - 3 hours per semester
prerequisite
professional knowledge
use all type of compounding especially continuous compunding.
application of lienar algebra algorithms and application of regression methods.
explain the principle of criteria of project evaluation (IRR, IR, NPV).
explain the basic concepts and calculation procedure of statistics and probability (mean value, variability, covariance, correlation).
explain hhe principles of calculation procedures of annuities.
professional skills
determine any values of all type of compounding specially continuous compound calculation.
develope and determine regression function.
construct cash flow of simple project, calculate criteriion and evaluate project.
determine mean value, variability, covariance, correlation of sample data.
calculate present (future) value of different type of annuities.
learning outcomes
professional knowledge
construction of interest intensity function using regression methods and determination of accumulative factor.
evaluation of random cash flows.
concepts and calculation of bonds prices.
construction of swap and immunized bonds portfolio.
analyzing of shares with rwspect to profit and risk.
concepts of options and determination of option price using binomial model and Black-Scholes model.
principle of resultant strategy of options combination.
professional skills
construct the function of interest intensity using regression and calculate acumulative factor.
assemble the cash flows of random project and evaluate the project using criteria.
calculate bond prices and analyze the bonds profits with respect to different type of risk.
construct swap portfolio of bonds and construct immunized portfolio of bonds.
determine the option price using binomial and Black-Sholes model.
construct strategy of options combination.
teaching methods
professional knowledge
E-learning
Students' portfolio
Lecture with practical applications
Discussion
assessment methods
Oral exam
Written exam
Seminar work
Individual presentation at a seminar
Recommended literature
  • BLÁHA, Z. S., JINDŘICHOVSKÁ, I. Opce, swapy a futures-deriváty finančního trhu. Praha : Management Press, 1997.
  • BRADA, J. Teorie portfolia. 1. vyd. Praha : Vysoká škola ekonomická, 1996. ISBN 80-7079-259-0.
  • Cipra, Tomáš. Finanční ekonometrie. 1. vyd. Praha : Ekopress, 2008. ISBN 978-80-86929-43-9.
  • Cipra, Tomáš. Matematika cenných papírů. Vyd. 1. Praha : HZ, 2000. ISBN 80-86009-35-1.
  • DVOŘÁK, P. Finanční deriváty. 3. vyd. Praha : VŠE, 1998. ISBN 80-7079-633-2.
  • Hindls, Richard. Statistika pro ekonomy. 8. vyd. Praha : Professional Publishing, 2007. ISBN 978-80-86946-43-6.
  • KOUBA, J. Termínové a opční obchody na komoditních burzách. 1. vyd. Praha : VŠE, 1998. ISBN 80-7079-525-5.
  • PAVLÁT, V. Finanční opce. Praha : Magnet Press, 1994.
  • Pavlát, Vladislav. Kapitálové trhy. 2., dopl. vyd. Praha : Professional Publishing, 2005. ISBN 80-86419-87-8.


Study plans that include the course
Faculty Study plan (Version) Branch of study Category Recommended year of study Recommended semester
Faculty of Applied Sciences Information Systems (2016) Informatics courses 1 Winter
Faculty of Applied Sciences Information Systems (2017) Informatics courses 1 Winter
Faculty of Economics Information Systems Management (2013) Economy 2 Winter
Faculty of Applied Sciences Information Systems (2013) Informatics courses 2 Winter
Faculty of Applied Sciences Information Systems (2015) Informatics courses 2 Winter