Advanced Financial Management Methods

Garant předmětu:

Lecturer:

Tutor:

Supervisor:

Department of Economics, Management and Humanities

Synopsis:

The aim of the course is a deeper understanding of the more complex financial management issues. It builds on knowledge of standard financial management courses. The main topics are alternative capital market models, other investment valuation methods (generalized NPV method, general IRR method). The student will learn how to protect against risk using derivatives, evaluating exotic derivatives. In addition, students will assess using the Monte Carlo method the value of derivatives and financial instruments for which the so-called closed formulas are not available. Other modern finance issues will be addressed through case studies. An integral part is the question of numerical methods, their reliability and their practical use. Students create their own models and simulations based on the chosen topic. The output will be a comparative analysis of the proposed methods and standard methods. The wide use of computational tools and models (Matlab, Mathematica, others) is assumed.

Requirements:

Syllabus of lectures:

1. Generalized net present methods, approval internal rate of return

2. Arbitrage pricing theory and arbitrage pricing model of capital market

3. Engineering aspects of derivatives

4. Financial engineering applications in hedge fund strategy

5. Structural models of default, capital structure arbitrage

6. Selected case study

7. Solving impulse-control problems with control delays

8. FIX: the Fear Index – measuring market fear

9. FFT option pricing – efficient approximation methods under multi-factor stochastic volatility and jumps

10. The evaluation of gas swing contracts with regime switching

11. Interest rate derivatives, bond options, LIBOR and swap products

12. Exotic options, options in power market, MC simulation

13. Simulated annealing in finance

14. Reserve

Syllabus of tutorials:

Study Objective:

Study materials:

Obligatory:

1. Yue-Kuen Kwok, Mathematical Models of Financial Derivatives, Springer, 2008 or newer edition.

2. Robert Kosowski, Salih N. Neftci, Principles of Financial Engineering, Academic Press, 2014

Elective:

3. Giulia Di Nunno, Bernt Øksendal, Advanced Mathematical Methods for Finance, Springer-Verlag Berlin Heidelberg, 2011

4. Mark Cummins, Finbarr Murphy, John J.H. Miller, Topics in Numerical Methods for Finance, Springer US, 2012

Note:

Further information:

No time-table has been prepared for this course

The course is a part of the following study plans:

• Doctoral studies, daily studies (compulsory elective course)
• Doctoral studies, combined studies (compulsory elective course)