SubjectsSubjects(version: 953)
Course, academic year 2023/2024
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Investment Analysis - NMFP533
Title: Analýza investic
Guaranteed by: Department of Probability and Mathematical Statistics (32-KPMS)
Faculty: Faculty of Mathematics and Physics
Actual: from 2022 to 2023
Semester: winter
E-Credits: 5
Hours per week, examination: winter s.:2/2, C+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. Ing. Miloš Kopa, Ph.D.
doc. RNDr. Jan Večeř, Ph.D.
Class: M Mgr. FPM
M Mgr. FPM > Povinně volitelné
M Mgr. PMSE > Povinně volitelné
Classification: Mathematics > Financial and Insurance Math.
Incompatibility : NMFM431
Interchangeability : NMFM431
Is incompatible with: NMFM431, NMFM507
Is pre-requisite for: NMFP556
Is interchangeable with: NMFM431, NMFM507
Annotation -
Securities - analysis and pricing. Portfolio construction. Risk modelling. Fundamental analysis.
Last update: Branda Martin, doc. RNDr., Ph.D. (09.12.2020)
Aim of the course -

The objective is getting a cross-section information about investment analysis and about the

role of probability, statistics and optimization in this subject.

Last update: Zichová Jitka, RNDr., Dr. (26.05.2022)
Literature -

Luenberger, D. G.: Investment Science, Oxford University Press, 1998.

Dupačová J., Hurt J., Štěpán J.: Stochastic modeling in economics and finance, Kluwer, 2002.

Last update: Kopa Miloš, doc. RNDr. Ing., Ph.D. (09.12.2020)
Teaching methods -

Lecture + exercises.

Last update: Zichová Jitka, RNDr., Dr. (26.05.2022)
Syllabus -

Introduction to securities

Bonds - pricing, duration, arbitrage portfolio

Stocks - portfolio construction, risk modelling and measuring

Derivatives and their pricing

Put-call parity amd Black-Scholes formula

Basic of fundamental analysis

Last update: Kopa Miloš, doc. RNDr. Ing., Ph.D. (09.12.2020)
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