Economic and Financial Modelling

The course is not on the list Without time-table
Code Completion Credits Range Language
G63E3301 KZ 3 0P+2C English
It is not possible to register for the course G63E3301 if the student is concurrently registered for or has previously completed the course 32ME-P-EFNM-01 (mutually exclusive courses).
The requirement for course G63E3301 can be fulfilled by substitution with the course 32ME-P-EFNM-01.
Garant předmětu:
Institute of Economic Studies

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


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

Further information:
No time-table has been prepared for this course
The course is a part of the following study plans:
Data valid to 2024-06-16
Aktualizace výše uvedených informací naleznete na adrese https://bilakniha.cvut.cz/en/predmet4999406.html