Economic and Financial Modelling

Garant předmětu:

Jiří Zmatlík

Lecturer:

Jiří Zmatlík

Tutor:

Jiří Zmatlík

Supervisor:

Institute of Economic Studies

Synopsis:

The course is organized in 2 seminars weekly, 3 credits.

Analyzing and solving models of optimal allocation of assets, management of risk, and Portfolio allocation

Requirements:

BSc-level course in Statistics, advanced usage of MS Excel.

Syllabus of lectures:

Numerical Models and their Comparison with Analytical Models

Zero-Coupon Bond. Matrix Solution of the Zero-Coupon Bond problems

Empirical Properties and Classical Theories of the Term Structure

Hedging Interest-Rate Risk with Duration

Other hedging Methods

Models of Risks management

The Capital Asset Pricing Model. CAPM model

Markowitz Theory of Portfolio

Case Studies (Model Design, Solution and Discussion)

Market Risk Management, Value at Risk

Syllabus of tutorials:

Weekly practical exercises will be assigned for solving at home.

Exercises will be the basis for stating the questionnaires for the Exam.

For the grading, as long as there is only one seminar, at the end of the semester, one practical exercise will be assigned combining the statistical procedure and the theoretical explanation.

The grading levels are A B C D E (F – failed).

Study Objective:

By the end of the course, students will be able to design and interpret various types of models to support managerial decision-making.

Study materials:

Le Bellac, Mathieu, Viricel Arnau (2017). Deep Dive Into Financial Models: Modeling Risk And Uncertainty. Word Scientific Publishing Co.

Keynes JM. (1936) The General Theory of Employment, Interest, and Money. Palgrave Macmillan.

Moorad Choudhry (2001) The Bond and Money Markets: Strategy, Trading, Analysis. Butterworth-Heinemann

Anthony Saunders & Linda Allen (2002). Credit Risk Measurement. John Wiley & Sons, Inc.

Lütkepohl Helmut 2005. New Introduction to Multiple Time Series Analysis. Springer-Verlag Berlin Heidelberg

Martellini Lionel, Priaulet Philippe and Priaulet Stephane. Fixed-Income Securities Valuation, Risk Management and Portfolio Strategies. John Wiley & Sons Ltd

Martin Anthony, (1996). Mathematics for Economics and Finance: Methods and Modelling. Cambridge University Press.

Ruey s. Tsay (2005). Analysis of Financial Time Series. Second Edition. A John Wiley & Sons, Inc., publication

Oxford (2014). Dictionary of Statistics. Oxford University Press.

Oxford (201). Dictionary of Finance and Banking. Oxford University Press.

Mun, J. Modeling Risk. Hoboken: John Wiley, 2006. ISBN 978-0-471-78900-0

Scholes Myron (1997). Derivatives in a Dynamic Environment. Nobel Prize Lecture. Stockholm.

Wilmott Paul (2006). On Quantitative Finance. Second Edition. John Wiley & Sons Ltd

Recommended Complements:

Black, F & Scholes M. The Pricing of Options and Corporate Liabilities. Journal of Political Economy. 81, 637-654.

Kahneman Daniel (2002). Maps of Bounded Rationality a Perspective on Intuitive Judgment and Choice. Nobel Prize for Economics Lecture. Stockholm. In: https://www.nobelprize.org/uploads/2018/06/kahnemann-lecture.pdf

Markowitz Harry (1990). Foundations of Portfolio Theory. Nobel Prize for Economics Lecture. Stockholm. In: https://www.nobelprize.org/uploads/2018/06/markowitz-lecture.pdf

Merton Robert. (1997). Application of Option-Pricing Theory: Twenty-five years later. Nobel Prize for Economics Lecture. Stockholm. In: https://www.nobelprize.org/uploads/2018/06/merton-lecture.pdf

Sharpe William (1990). Capital Asset Prices with and without Negative Holdings. Nobel Prize for Economics Lecture. Stockholm. In: https://www.nobelprize.org/uploads/2018/06/sharpe-lecture.pdf

Note:

Further information:

http://moodle-vyuka.cvut.cz/course/view.php?id=164

Time-table for winter semester 2022/2023:

	06:00–08:0008:00–10:0010:00–12:0012:00–14:0014:00–16:0016:00–18:0018:00–20:0020:00–22:0022:00–24:00
Mon	roomDEJ:408 Zmatlík J. 12:30–14:00 (parallel nr.101) Dejvice Učebna
Tue
Wed
Thu
Fri

Time-table for summer semester 2022/2023:

Time-table is not available yet

The course is a part of the following study plans:

• Prospectus (elective specialized course)
• N-PRI-prez.forma od 15/16 (compulsory course of the branch)
• N-PRI-prez.forma od 16/17 (compulsory elective course)
• N-PRI-prez.forma od 17/18 (compulsory course of the branch)
• N-PRI-CP prezenční navazující studium od 18/19 (compulsory course of the branch)
• N-PRI-CP prezenční navazující studium od 19/20 Financial Management (PS)
• N-PRI-CP prezenční navazující studium od 20/21 Financial Management (PS)
• N-PRI-CP prezenční navazující studium od 21/22 Financial Management (compulsory course of the branch)
• N-PRI-CP prezenční navazující studium od 21/22 Regional Studies (compulsory elective course)
• N-PRI-CP prezenční navazující studium od 21/22 Process Management (compulsory elective course)
• N-PRI-CP prezenční navazující studium od 21/22 Project Management (compulsory elective course)
• Process Management, prezenční - 22/23 (compulsory elective course)
• Financial management, AR 22/23, prezenční forma (compulsory course of the branch)
• Regional Studies, prezenční forma, AR 22/23 (compulsory elective course)
• Project management, prezenční forma, AR 2022/2023 (compulsory elective course)