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National Repository of Grey Literature 2 records found  Search took 0.00 seconds. 
Option pricing. The methodological retrospection and the ampirical tests of the Black-Scholes pricing formula and feed-forward networks
 Vlasáková Baruníková, Michaela ; Žikeš, Filip (advisor) ; Dědek, Oldřich (referee)
Since the famous Black, Scholes, Merton formula substantial progress has been made in the option pricing theory. We recapitulate this development in the first part of the work to provide the reader with the comprehensive methodological review of the option pricing techniques and we describe the most common issues one has to deal with in empirical application. The aim of the empirical part is to evaluate the difference between the rather simple but revolutionary Black- Scholes model and one of the more complex techniques (neural networks) on the European-style S&P Index call and put options over the period of 1.6.2006 till 8.6.2007. Our results on call options show that generally Black-Scholes model with historical and at-the-money implied volatility performs better than simple generalized feed-forward networks. On the other hand neural networks performance is improving as the option goes deep in the money and as days to expiration increase, compared to the worsening performance of the BS models. Neural networks seem to correct for the well-known Black-Scholes model moneyness and maturity biases. All models have much lower explanatory power for put options compared to calls. Since options are real indicators of the market movements we assign this fact to the expectations of the market participants...
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INFECTION AS A RISK FACTOR DURING PREGNANCY
 HRUBEŠOVÁ, Martina
The thesis Infection as a risk factor during pregnancy is divided into two parts {--} theoretical and practical {--} and has a character of a research study. The theoretical part deals with aspects of infections during pregnancy. The main attention is paid to the questions of pregnant women colonized with group B Streptococci (GBS, Streptococcus agalactiae) which may cause a large scale of infectious diseases in newborns, including the life threatening sepsis. This part of the thesis is divided into seven chapters. They provide brief information on the etiological agent, risk factors, clinical picture of the disease, current possibilities of the disease diagnostics. The present day system of the optimal procedure of screening to identify women colonized with GBS and the procedure of the intrapartal antibiotic prophylaxis are also mentioned in the theoretical part. The objective of the practical part is to find the percentage of newborn infants delivered by mothers colonized with GBS who are also colonized with GBS despite their mothers having been treated by the intrapart antibiotic prophylaxis. The hypothesis I assumes that the intrapart antibiotic prophylaxis was administered to women colonized with GBS more than 4 hours before delivery. The hypothesis II presumes that newborns of GBS positive mothers who had been administered the antibiotic prophylaxis at least 4 hours before delivery were not colonized with GBS. The quantitative research was used to verify or reject the hypotheses. It was carried out by the retrospective analysis of medical records of women who gave birth between 1 June 2006 and 8 August 2007 at the maternity hospital in České Budejovice and had been colonized with GBS. The purpose of this thesis is to evaluate the antibiotic prophylaxis carried out in the maternity hospital in České Budejovice and to introduce the conclusions into practice and training.
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