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Mathematical Methods in Economics
Florescu, Chiril ; Budík, Jan (referee) ; Novotná, Veronika (advisor)
The bachelor’s thesis deals with the problem of option trading and its advanced strategies applied to financial markets using algorithmic trading. The theoretical part includes the basic concept of the financial market, a detailed characterization of the investment instrument with its boundary properties, and an overview of algo-trading. In the following section, the implementation and analysis of combined option positions on underlying assets such as equities and exchange-traded funds using beta-weighted deltas are discussed. The result of the work is the design of a trading strategy, backtesting on historical data and optimization of individual parameters for higher efficiency.
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Investment strategies and behavior of retail investors on the financial markets
MRÁZ, Daniel
Just 20-25% of trading activity on the financial markets in the USA is accounted to retail investors, even though their activity has doubled since the year 2019. Banks and other institutions make up for majority of money and activity in the market, but at the same time, more than 55% of households in the USA has money invested in stocks, obligations, funds and other financial assets. For Europeans, investing in the financial markets isnt near as much wide-spread, and too much money remains deposited in banks, where the interest rates are nearing zero, or in some cases below zero, while inflation eats on the purchasing power of this money continually. The main aim of this diploma thesis is to connect even a complete layman with the investing world, and to increase the interest of investing in stocks and investment funds. The thesis goes through investment strategies with various degrees of risk. The strategies are shown and tested on various examples from the real market. All the methods are supported by corresponding documents.
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Options Valuation: The Discrete case
Šiklová, Renata ; Zahradník, Petr (advisor) ; Dostál, Petr (referee)
In this work we will get familiarized with a discrete valuation of options. A power- ful and widely applicable numerical method known as the binomial model will be established. Starting with a basic economic idea of non-arbitrage principle we build a risk-neutral world and develop the binomial model for call options. The general binomial model is extended into a trinomial model and there are several parame- terizations that are actually used in practice, provided for both of them. Great emphasis is also focused on a theoretical background. The theoretical knowledge, that will be introduced here in the discrete world, one can regard as basis for con- tinues models. The consequences of probability theory and risk-neutral valuation appear in the valuation of American options. There are three ultimate goals of this work: construction of the model itself, its implementation and an overview of the theoretical background. 1
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Legal issues of derivatives
Kessler, Tomáš ; Kotáb, Petr (advisor) ; Kohajda, Michael (referee)
1 Legal Issues of Derivatives Abstract Derivatives symbolize one of the most successful instruments of international markets in 20. century boosted by ongoing globalization and never-ending technological progress. Though origins of derivatives could had been found in Ancient times, the real "explosion" of derivatives has blown in last two centuries. The essential objective and purpose of the thesis is firstly to analyse the true meaning and definition of the term "derivative" and surrounding legal issues and secondly to provide comprehensive list of basic derivatives according to the historical and financial-economic indicators. My thesis consists of six chapters. First two introductory chapters deal with the general aspects of derivatives, such as definition and legal nature. Derivatives, generally speaking, are legal contracts between market participants allowing contracting parties to transfer risks connected with particular underlying to another party or speculate on market movements in order to gain profits. Derivatives are traded in both, standardized and OTC markets, which embodied them with ultimate flexibility and range. Assessing true legal nature of derivatives stands for one of the main issues concerned by academics and practitioners, in particular whether derivatives fall under the category of...
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Legal Aspects of Derivatives
Krupová, Tereza ; Kotáb, Petr (advisor) ; Kohajda, Michael (referee)
Legal Aspects of Derivatives This thesis deals with derivatives and their legal aspects. The purpose of the thesis is to focus on the main characteristics of derivative contracts and try to find their legal nature. The main reason for choosing the topic was the lack of information about legal problems regarding derivatives. It seems to be an interesting paradox. Billions of derivatives contracts are traded every day but not much has been written about them from the law point of view. Although there are many books dealing with their economic characteristics their accounting and tax aspects, it is hardly possible to find a monograph dealing with their legal base. This thesis is divided into five main parts. The first one describes derivatives in general, offers a definition and divides them into basic categories. The second part encompasses history of derivatives and their regulation. This part is mainly connected to common law rules since derivatives have developed mostly within Anglo-American law systems. The third part concentrates on problems arising from the fact that although derivatives are traded all over the world their legal basis remains unclear. The question arising is whether to treat derivatives as wagers, insurance policies or as some different type of contract. In this part I offer my...
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DEVELOPMENT OF THE INSTITUTION OF STATE CITIZENSHIP IN THE CZECH REPUBLIC AND THE CONTEMPORARY SITUATION
Hřebejk, Jiří ; Gerloch, Aleš (advisor) ; Hofmannová, Helena (referee) ; Svatoň, Jan (referee)
The thesis entitled "Development of the Institution of State Citizenship in the Czech Republic and the Contemporary Situation" deals with the theoretical concept of the institute of citizenship, the content of the term, the historic origins of the archetype of modern citizenship in the ancient world and in the territory of the present Czech Republic, its stipulation in private law regulations, and its gradual transformation into a public institute. The thesis is a genesis of the constitutional and legal regulation in Czechoslovakia between 1918 to 1992, in the Czech Republic as the subject of the Czechoslovak Federation between 1969 and 1992, and in the autonomous Czech Republic from 1993 to the present. The thesis also refers to the international conventional regulation of the institute of citizenship, which is the expression of the sovereignty of a state, but multilateral international agreements between countries create a uniform platform of this institute, mainly within Europe. Court jurisdiction is also discussed, namely of the Constitutional Court of the Czech Republic in relation to the content and interpretation of the institute of citizenship in the legislation of the Czech Republic.
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Stock options as a form of executive remuneration in stock corporations
Turek, Jan ; Hurychová, Klára (advisor) ; Černá, Stanislava (referee)
This thesis deals with stock options as a form of executive compensation of a joint stock company. The aim of the thesis was to clarify the reasons that lead companies to decide to reward the executive with stock options, to find out what positive and negative consequences such a decision has, to present the legal regulation of stock options in the legal system of the Czech Republic and Germany and to compare these legal regulations. The most common reasons for rewarding executives with stock options are the desire to align the interests of shareholders and executives, the desire to retain key members of the executive, the desire to reduce risk aversion on the part of the executive, advantageous tax regulation or the desire to maintain high cash flow. Rewarding with stock options can also be used as a tool for the natural selection of executives according to their attitude to risk, which rewarding with stock options provides. If the option agreement does not contain a sufficiently long vesting period, retention period, dividend protection and an exercise price linked to an appropriate market index, the granting of stock options, rather than aligning the interests of shareholders and executives, may lead to a fixation on short-term performance, undue risk- taking or exacerbation of the free cash...
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The legal nature of financial derivatives under Czech law
Kofroň, Jan ; Kohajda, Michael (advisor) ; Kotáb, Petr (referee)
The thesis deals with the analysis focusedm on the nature of financial derivatives based on the analysis of documents such as mainly academic literature and the relevant legal regulations. This thesis is focused on the Czech legal regulation of derivatives and also includes the relevant European legislation. Firstly, attention is aimed at derivatives in general, the first chapter is focused on a brief historical development in the field of derivatives, and than on the term derivatives itself, as explained by various authors and, for comparison, some international organizations. Subsequent chapter acquaints with the basic properties of derivatives, where the individual types are characterized - especially forwards, futures, swaps and options. The chapter concludes with the current state of the derivatives market. The following chapter deals with the regulation of derivatives and derivatives markets under the Czech and the European law. Firstly, the role and competence of the Czech National Bank as the central administrative authority with the powers of the regulatory body and the financial market supervisory authority in the Czech Republic is mentioned here for the purpose of underlying the complexity of the topic. Subsequently, it is followed by description of regulatory steps made by the European...
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DEVELOPMENT OF THE INSTITUTION OF STATE CITIZENSHIP IN THE CZECH REPUBLIC AND THE CONTEMPORARY SITUATION
Hřebejk, Jiří ; Gerloch, Aleš (advisor) ; Hofmannová, Helena (referee) ; Svatoň, Jan (referee)
The thesis entitled "Development of the Institution of State Citizenship in the Czech Republic and the Contemporary Situation" deals with the theoretical concept of the institute of citizenship, the content of the term, the historic origins of the archetype of modern citizenship in the ancient world and in the territory of the present Czech Republic, its stipulation in private law regulations, and its gradual transformation into a public institute. The thesis is a genesis of the constitutional and legal regulation in Czechoslovakia between 1918 to 1992, in the Czech Republic as the subject of the Czechoslovak Federation between 1969 and 1992, and in the autonomous Czech Republic from 1993 to the present. The thesis also refers to the international conventional regulation of the institute of citizenship, which is the expression of the sovereignty of a state, but multilateral international agreements between countries create a uniform platform of this institute, mainly within Europe. Court jurisdiction is also discussed, namely of the Constitutional Court of the Czech Republic in relation to the content and interpretation of the institute of citizenship in the legislation of the Czech Republic.
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Estimation of risk-neutral probability density functions from option prices
Krejčí, Kateřina ; Málek, Jiří (advisor) ; Diviš, Martin (referee)
The thesis deals with the estimation of risk-neutral probability density functions from option prices. It focuses on smoothing techniques that are applied to volatility smile. Theoretical part describes the estimation principle and presents some solutions for problems that occur while estimating the risk-neutral distribution. The findings from the theoretical part are used in the practical part and applied to real data. An analysis of the influence of the selection of particular smoothing function on the final distribution is performed. At the end of the thesis a stability test of estimations is performed and the analysis of dynamics of risk neutral distribution is shown on a small data sample.
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