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Advanced Topics of Financial Management - NMFM507

Title:	Pokročilé partie finančního managementu
Guaranteed by:	Department of Probability and Mathematical Statistics (32-KPMS)
Faculty:	Faculty of Mathematics and Physics
Actual:	from 2023
Semester:	winter
E-Credits:	2
Hours per week, examination:	winter s.:2/0, Ex [HT]
Capacity:	unlimited
Min. number of students:	unlimited
4EU+:	no
Virtual mobility / capacity:	no
State of the course:	not taught
Language:	Czech, English
Teaching methods:	full-time
Teaching methods:	full-time
Additional information:	http://www.karlin.mff.cuni.cz/~hurt/PPFM2018ZS.nb

Guarantor:	doc. RNDr. Jan Hurt, CSc.
Class:	M Mgr. FPM M Mgr. FPM > Povinné
Classification:	Mathematics > Financial and Insurance Math.
Incompatibility :	NMFP533
Pre-requisite :	NMFP405, NMSA409
Interchangeability :	NMFP533

Opinion survey results Examination dates Schedule Noticeboard

Annotation -

Last update: RNDr. Jitka Zichová, Dr. (10.05.2017)

Portfolio theory. Term structure of interest rates. Yield curves. Analysis of risk measures and their applications in finance and insurance. Matching of assets and liabilities. Arbitrage pricing theory. Stochastic models of financial assets. The lectures may be read in English.

Aim of the course -

Last update: T_KPMS (16.05.2013)

To teach students advanced topics of financial management.

Course completion requirements -

Last update: RNDr. Jitka Zichová, Dr. (23.04.2018)

Written exam.

Literature -

Last update: doc. RNDr. Jan Hurt, CSc. (09.10.2017)

[1] Dupačová, J., Hurt, J., Štěpán, J.: Stochastic Modeling in Economics and Finance. Kluwer Academic Publishers. Dordrecht 2002.

[2] Cipra, T.: Finanční ekonometrie. Ekopress, Praha 2008.

[3] Cipra, T.: Matematika cenných papírů. Kamil Mařík Professional Publishing. Praha 2013.

[4] Hurt, J.: Yield curves with Mathematica 6.0. In: Wolfram Technology Conference 2007. http://library.wolfram.com/infocenter/Conferences/6956/ . Champaign (IL) 2007.

[5] Hurt, J.: Risk measures in finance. In: 2008 International Mathematica User Conference. http://library.wolfram.com/infocenter/Conferences/7230/. Champaign (IL) 2008.

[6] Hurt, J.: Risk measures in finance revisited. In: Wolfram Technology Conference 2010. http://library.wolfram.com/infocenter/Conferences/7861/ . Champaign (IL) 2010.

[7] Sciencedirect: http://www.sciencedirect.com/

[8] Mathematica Cookbook

[9] Luenberger, D.: Investment Science. Oxford University Press. New York 1998.

[10] Hurt, J.: Finanční management. Přednáška MFF UK.

http://www.karlin.mff.cuni.cz/~hurt/Financni_management_prednaska.nb

[11] Brigham, E. F.: Fundamentals of Financial Management. Dryden Press. 6th edition Fort Worth 1992. Chapter 7, The Cost of Capital.

[12] Cipra, T.: Financial and Insurance Formulas. Springer-Verlag. Berlin Heidelberg 2010.

[13] Cipra, T.: Riziko ve financích a pojišťovnictví: Basel III a Solvency II. Ekopress. Praha 2015.

Teaching methods -

Last update: RNDr. Jitka Zichová, Dr. (23.04.2018)

Lecture.

Requirements to the exam -

Last update: doc. RNDr. Jan Hurt, CSc. (09.10.2017)

The exam is in written form comprising both examples and theoretical problems arising from the Syllabus. In case of ambiguities an oral explanation is requried.

Syllabus -

Last update: doc. RNDr. Jan Hurt, CSc. (09.10.2017)

Markowitz theory of portfolio. Optimal portfolio. Capital asset pricing model. Security market line. Capital market line. Term structure of interest rates. Yield curves and their construction. Risk measures: value at risk (VaR), conditional value at risk (CVaR), spectral risk measures, expectiles. Matching of assets and liabilities: matching and immunization, dedicated bond portfolio, stochastic model. Arbitrage pricing theory: regression model, factor model. Stochastic models of interest rates and price development: discretization and estimation.

Entry requirements -

Last update: doc. RNDr. Jan Hurt, CSc. (15.05.2019)

Calculus. Matrix calculus. Elementary probability. Linear regression. Basics of financial mathematics. Elements of Markowitz mean-variance portfolio theory.