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Lecturer(s)
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Gašpařík Adam, doc. RNDr. Ph.D.
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Course content
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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.
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Learning activities and teaching methods
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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
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| prerequisite |
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| Knowledge |
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| gain the knowledge of elementary financial calculations. |
| Skills |
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| use extended functions of MS Excel |
| apply elementary algorithms of financial mathematics |
| Competences |
|---|
| N/A |
| learning outcomes |
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| Knowledge |
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| 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 |
| estimate the price of more complex instruments using binomial trees |
| Skills |
|---|
| apply knowledges for practice tasks solution |
| use SW Mathematica |
| Competences |
|---|
| N/A |
| teaching methods |
|---|
| Knowledge |
|---|
| Practicum |
| Interactive lecture |
| Skills |
|---|
| Interactive lecture |
| E-learning |
| Task-based study method |
| Competences |
|---|
| E-learning |
| Interactive lecture |
| assessment methods |
|---|
| Knowledge |
|---|
| Written exam |
| Practical exam |
| Test |
| Seminar work |
| Skills |
|---|
| Test |
| Seminar work |
| Competences |
|---|
| N/A |
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Recommended literature
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BRADA, J. Teorie portfolia. 1. vyd. Praha : Vysoká škola ekonomická, 1996. ISBN 80-7079-259-0.
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CAMPBELL, J., LO, A., MACKINLEY, C. The Econometrics of Financial Markets. Princeton : University Press, 1997.
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DOWD, K. Measuring Market Risk. Hoboken : Wiley, 2005.
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MÁLEK, J. Řízení finančních rizik. Praha : VŠE, 2003.
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