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 BlackScholes's model, and basic combinative strategies in options portfolio construction.  The basic concepts of portfolio theory, the relation returnrisk, 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, Elearning, Discussion, Students' portfolio
 unspecified
 26 hours per semester
 Contact hours
 39 hours per semester
 Preparation for comprehensive test (1040)
 20 hours per semester
 Preparation for an examination (3060)
 40 hours per semester
 Presentation preparation (report) (110)
 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 BlackScholes 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 BlackSholes model. 
construct strategy of options combination. 
teaching methods 

professional knowledge 

Elearning 
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 futuresderiváty finančního trhu. Praha : Management Press, 1997.

BRADA, J. Teorie portfolia. 1. vyd. Praha : Vysoká škola ekonomická, 1996. ISBN 8070792590.

Cipra, Tomáš. Finanční ekonometrie. 1. vyd. Praha : Ekopress, 2008. ISBN 9788086929439.

Cipra, Tomáš. Matematika cenných papírů. Vyd. 1. Praha : HZ, 2000. ISBN 8086009351.

DVOŘÁK, P. Finanční deriváty. 3. vyd. Praha : VŠE, 1998. ISBN 8070796332.

Hindls, Richard. Statistika pro ekonomy. 8. vyd. Praha : Professional Publishing, 2007. ISBN 9788086946436.

KOUBA, J. Termínové a opční obchody na komoditních burzách. 1. vyd. Praha : VŠE, 1998. ISBN 8070795255.

PAVLÁT, V. Finanční opce. Praha : Magnet Press, 1994.

Pavlát, Vladislav. Kapitálové trhy. 2., dopl. vyd. Praha : Professional Publishing, 2005. ISBN 8086419878.
