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A comparison of the Black-Scholes model with the Heston model
Obhlídal, Jiří ; Málek, Jiří (advisor) ; Fičura, Milan (referee)
The thesis focuses on methods of option prices calculations using two different pricing models which are Heston and Black-Scholes models. The first part describes theory of these two models and conlcudes with a comparison of the risk-neutral measures of these two models. In the second part, the relations between input parameters and the option price generated by these models are clarified. This part ends up with an analysis of the market data and it answers the question which model predicts better.
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The currency derivatives and their use for hedging of currency rate risk
Bartoš, Ondřej ; Málek, Jiří (advisor) ; Staniek, Dušan (referee)
My Bachelor s thesis deals with the analysis of currency derivatives and their use for hedging of currency rate risk. In the first part (chapters 1 and 2) the thesis describes foreign exchange markets and currency rate risk. In the second part (chapters 3 to 7) the thesis describes derivative instruments, in particular currency forwards, foreign exchange swaps and currency swaps, currency futures and currency options. In my thesis I focused only on the potential of hedging currency rate risk. The bachelor s thesis is theoretical and drew from Czech book publications, foreign book publications, information sources of the financial institutions and real statistical data. Based on the combination of theoretical facts and exact data the thesis illustrates that financial derivatives offer effective solution for hedging of currency rate risk a their use prevents future financial losses of the negative development of currency rates.
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Volatilní úsměv
Stolbov, Anatoly ; Witzany, Jiří (advisor) ; Fičura, Milan (referee)
The thesis describes and applies two parametric option pricing models which partially ease the well-known discrepancy between real world and Black-Scholes model. Stochastic volatility and jumps encompassed by Heston and SVJ models explain implied volatility smile and its heterogeneous term-structure. Both models are calibrated to market data observed for EURUSD currency options on January 23, 2015. While SVJ model provided a better fit for the market, especially for mid-term expiry smile curvature, its estimated risk-neutral parameters were unrealistic comparing with their counterparts under statistical measure. Estimations suggest zero long term price volatility and 2 jumps during the year with average magnitude of 6 \%. Both models failed to match curvature of short time to expiry smile and provided a good fit of term-structure and long-expiry smile. Analysing delta ratios adjusted for non-constant volatility as a possible alternatives the study considered minimum variance delta estimated with Heston model, delta ratio recommended by Nassim Taleb and two deltas adjusted for local volatility assuming sticky moneyness and sticky tree dynamics of implied volatility. On data set of EURUSD options from 1.1.2014 to 30.5.2015, our research did not find any alternative which would be more reliable than common Black-Scholes delta.
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FOREX and Option strategies
Štěpánek, Tomáš ; Zámečník, Petr (advisor) ; Smrčka, Luboš (referee)
This thesis deals with currency market FOREX and currency option strategies. The aim is to analyze possibilities of companies that want to hedge against currency risk with the financial derivatives. In the beginning of the thesis there is a characteristics of a currency market, explanation of how it works and principals of option strategies. In the first part I will state the most important events that formed the market how it is today. Followed by the mechanism of trading on the currency market, characteristics of the participants of the market and trading session and also causes of the long-term and short-term movements of exchange rates on the currency market. Continued by explanation of the technical analysis. In the next part there is a characteristics and definition of options. The point of the bachelor s thesis consist of detailed explanation and application of option strategies including their graphical interpretation.
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Commodity price risk hedging
Pospíšil, Jakub ; Taušer, Josef (advisor) ; Čajka, Radek (referee)
The thesis presents and applies modern theory of hedging. It determines optimal hedging strategies for Strabucks and GlencoreXstrata corporations on coffee bean and high-grade copper markets. Through these two case studies the theoretical models are tested and assessed based on their relevance to business needs.
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Vývoj struktury devizového trhu se zaměřením na Hongkong a Singapur
Vu, Thi Lan Anh ; Brůna, Karel (advisor) ; Šíma, Ondřej (referee)
Bachelor thesis analyses the development of the structure of the foreign exchange market. The theoretical part describes global foreign exchange market, its core and functions, subjects entering to the market and also the technique of performing operations. The empirical part focuses on the development of the foreign exchange market in Hong Kong and afterward this market is compared to the foreign exchange market in Singapore, which foreign exchange markets are the world's financial centres.
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Possible useage of financial derivatives in international business
Siuda, Jan ; Taušer, Josef (advisor) ; Čajka, Radek (referee)
The thesis is analysing the possible usage of financial derivatives in international business operations at two levels. These are hedging against risks (currency, interest rate and commodity risks) and the possible derivative application within marketing activities. The thesis describes the derivative market dynamics, explains the basic instruments and describes essential trading principles. Based on the three separate case studies, the possible derivative usage in international business is illustrated.
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Zaměstnanecké benefity
Holíková, Lenka
This thesis deals with the issues of employee benefits. Tax impacts of using individual types of benefits are detected, from the point of view of both employees and employers. Advantageousness of chosen benefits is afterwards supported by real company's data. For this purpose, a method of comparison with the most common type of reward, with increase in salaries, is used. A partial section of the thesis is dedicated to stock option plans. A law adjustment of this type of benefit in current tax legislation is discussed here. As a result, a new, more specific, legal tax adjustment and possible exemption, which could be utilized, is suggested.
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Účetní a daňové aspekty finančních a komoditních derivátů u podnikatelských subjektů
Müller, Martin
The diploma thesis deals with selected derivatives based on an analysis by determining the impact on profit, the income tax base and the amount of value added tax at ordinary entrepreneurs. The theoretical part focuses on issues of financial markets and financial derivatives. The practical part includes comparison of selected financial derivatives, selection of the most suitable derivative and impacts of the derivative transactions.
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Motivační akciové plány jako forma zaměstnaneckých benefitů
Fišer, Vojtěch
This thesis deals with the issue of motivational stock plan in the Czech Republic. The main objective of this work is the determination of the tax liability in accordance with the legislation of the Czech Republic and the subsequent comparison of how this issue is solved in other countries. The work consists of theoretical and practical part. The theoretical part defines the different types of motivational incentives for employees. The practical part follows the theoretical and shows this issue at model situations.
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