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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
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 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 -

Last update: doc. RNDr. Martin Branda, Ph.D. (09.12.2020)

Securities - analysis and pricing. Portfolio construction. Risk modelling. Fundamental analysis.

Aim of the course -

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

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

role of probability, statistics and optimization in this subject.

Literature -

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

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

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

Teaching methods -

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

Lecture + exercises.

Syllabus -

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

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