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Lecturer(s)
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Linda Bohdan, doc. RNDr. CSc.
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Gogola Ján, RNDr. Ph.D.
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Course content
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Portfolio theory: - Basic investment instruments, investment triangle. - Portfolio return and risk, risk diversification. - Investor utility function, optimal portfolio selection. - Markowitz portfolio theory. - CAPM Capital Asset pricing model. - Factor models. Options pricing: - Binomial tree models Cox-Ross-Rubinstein model for European options pricing. - Replicating portfolio, self-financing strategy. - Put-call parity. - Pricing American options. - Black-Scholes model, Merton model, Garman-Kohlhagen model. - Greeks hedge parameters. VaR (Value at Risk): - Financial risks, market risks, regulation of financial risks. - Absolute and relative VaR. - Parametric calculation of VaR, Variance/covariance method, Historic simulation. - Brownian motion, Wiener process. - Calculating VaR using Monte Carlo.
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Learning activities and teaching methods
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Monologic (reading, lecture, briefing), Dialogic (discussion, interview, brainstorming), Work with text (with textbook, with book)
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Learning outcomes
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The aim of the course is to develop skills needed to construction of models of assets and liabilities and the valuation of derivative financial instruments to investor needs using of stochastic processes and stochastic modeling. This will achieve substantial reduction in risk when investing funds.
Students will be able to use acquired knowledge not only in the system of insurance but also in other related disciplines, they will formulate alternate approaches, select appropriate methods and suitably present the solution and defend it with necessary arguments.
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Prerequisites
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unspecified
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Assessment methods and criteria
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Oral examination, Written examination, Student performance assessment
The examination is written, eventually oral.
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Recommended literature
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Stochastic Modeling: Theory and reality from an actuarial perspective.. Ottawa: Association Actuarielle Internationale, 2010.
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CIPRA, T.:. Finanční a pojistné vzorce. Praha: Grada Publishing, 2006.
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Cipra, Tomáš. Kapitálová přiměřenost ve financích a solventnost v pojišťovnictví. Praha: Ekopress, 2002. ISBN 80-86119-54-8.
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Cipra, Tomáš. Pojistná matematika : teorie a praxe. Praha: Ekopress, 2006. ISBN 80-86929-11-6.
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DICKSON, D. C. M., HARDY, M. R., WATERS, H. R. Actuarial Mathematics for Life Contingent Risks. Cambridge: Cambridge University Press, 2009.
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LIN, X. Introductory stochastic analysis for finance and insurance.. Hoboken: Wiley-Interscience, 2006.
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SAKÁLOVÁ, K. Aktuárské analýzy.. Bratislava: Vydavatelství EKONOM., 2006.
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SAKÁLOVÁ, K. Oceňovanie produktov v životnom poistení.. Bratislava: Vydavatelství EKONOM, 2001.
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SEKERKA, B.:. Matematické a statistické metody ve financování, cenných papírech a pojišťovnictví. Praha: Profess Consulting, 2002. ISBN 8072590316.
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