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Implied volatility and higher risk neutral moments: predictive ability
Hanzal, Martin ; Černý, Michal (advisor) ; Málek, Jiří (referee)
Implied volatility obtained from market option prices is widely regarded as an efficient predictor of future realised volatility. Implied volatility can be thought of as market's expectation of future realised volatility. We distinguish between volatility-changing events with respect to expectations - scheduled events (such as information releases) and unscheduled events. We propose a method of testing the information content of option-implied risk-neutral moments prior to volatility-changing events. Using the method introduced by Bakshi, Kapadia & Madan (2003) we extract implied volatility, skewness and kurtosis from S&P 500 options market prices and apply the proposed method in four case studies. Two are concerned with scheduled events - United Kingdom European Union membership referendum, 2016 and United States presidential election, 2016, two are concerned with unscheduled events - flash crash of August 24, 2015 and flash crash of October 15, 2014. Implied volatility indicates a rise in future realised volatility prior to both scheduled events. We find a significant rise in implied kurtosis during the last three days prior to the presidential election of 2016. Prior to unscheduled events, we find no evidence of implied moments indicating a rise in future realised volatility.
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Hemodynamic optimalization in hepatic recection
Zatloukal, Jan ; Pradl, Richard (advisor) ; Cvachovec, Karel (referee) ; Málek, Jiří (referee)
Lowering of central venous pressure in hepatic surgery is nowadays widely recommended and used procedure. Low central venous pressure anesthesia is associated with decreased blood loss and improved clinical outcome. There are several approaches how to reach low central venous pressure. Till now none of them is recommended as superior in terms of patient safety and clinical outcome. Concurrently there is still debate if to use the low central venous pressure anesthesia principle or if it could be replaced with a principle of anesthesia with high stroke volume variation (or another dynamic preload parameter) with the use of a more sophisticated hemodynamic monitoring method. Results of our study didn't show any significant difference between two approaches used for reduction of central venous pressure, but suggest that the principle of low central venous pressure anesthesia could be possibly replaced by the principle of high stroke volume variation anesthesia which presumes the use of advanced hemodynamic monitoring. KEYWORDS Hepatic resection, central venous pressure, Pringle maneuver, hemodynamics, hemodynamic monitoring, fluid therapy, anesthesia
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Structural control of the 2011 Mw 9.0 Tohoku-Oki earthquake and its relation to the overall seismicity of Honshu
Haislová, Radka ; Špičák, Aleš (advisor) ; Málek, Jiří (referee)
The 2011 March 11 Tohoku-Oki earthquake with moment magnitude of 9.0 east of Honshu, Japan, has been the fourth strongest event in the era of instrumental seismology. This thesis is focussed on a detailed analysis of earthquake distribution in time and space in the broader area of Honshu during the time interval of fifty years (1964 - 2013), and on correlation of seismological data with tectonic structure and surface morphology, including the sea floor. The aim of the thesis is not to predict the earthquake retroactively but to put its occurrence into the context of the long-term development of seismicity, to identity differences in the seismic response to the process of plate tectonics prior, during and after the Tohoku-Oki earthquake and to delimitate the tectonic causes of areal limitation of the extent of the aftershock series. The space-time analysis of the development of earthquake occurrence utilized relocated hypocentral parameters primarily identified by the International Seismological Centre (so called EHB data), focal mechanisms of the Global Centroid Moment Tensor Solution programme, surface morphology and bathymetry data, and eruptive history database of active volcanoes. A series of epicentral maps and vertical sections of focal zones were construced for the analysis of seismic...
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Counterparty Credit Risk and Interest Rate Derivatives Pricing
Černý, Jakub ; Witzany, Jiří (advisor) ; Hurt, Jan (referee) ; Málek, Jiří (referee)
Counterparty Credit Risk and Interest Rate Derivatives Pricing Jakub Černý Abstract: This thesis deals with the pricing of OTC financial derivatives including the coun- terparty credit risk (CCR). It focuses on the interest rate derivatives for which the interest rate must be modeled as random. This is where they differ from the pricing of other derivatives. The credit valuation adjustment (CVA) concept is used to calculate CCR which is in line with current banking regulation Basel III. When we assume the independence of the underlying asset and the credit quality of the counterparty, we obtain an analytical expression of CVA. However, if the independence is violated, the CVA calculation becomes quite complicated. Specifically, the CVA of the inter- est rate swap (IRS) is calculated mainly using the simulation approach which is time and computationally consuming. Therefore, we bring two new methods for IRS CVA calculation where the CVA is expressed in a semi-analytical form. These methods use copula functions, particularly the Gaussian copula and the upper Fréchet bound, and we compare them numerically with a complex simulation study. Furthermore, we pro- pose a method of calibration of the correlation coefficient and we determine the impact of changes in the intensity of default on the final CVA with four...
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Opioids in caesarean section
Nosková, Pavlína ; Bláha, Jan (advisor) ; Málek, Jiří (referee) ; Vymazal, Tomáš (referee)
The thesis is focused on perioperative use of opioids during caesarean section. The general part is concerned with pharmacology of opioids due to their practical use during general and regional anaesthesia and postoperative analgesia with particular focus on remifentanil. Emphasis is put on the placental transfer of opioids into breast milk which has the possible influence on postnatal adaptation of the newborns and breastfeeding/lactation. The first part of the research describes current anaesthetic practice and opioid use in obstetrics in the Czech Republic according to the OBAAMA-CZ study in 2011. The second study on a unique group of 151 parturients showed that bolus application of remifentanil at a dose of 1 μg/kg at the time of 30 seconds before induction of general anaesthesia for caesarean section significantly stabilizes maternal hemodynamic parameters (blood pressure, heart rate) and reduces the stress response to tracheal intubation and skin incision. On the contrary, no influence on depth of anaesthesia (monitored by BIS) was found. But we demonstrated a slight effect of remifentanil on the assessment of postnatal adaptation of newborns at first minute after delivery. However, this attenuation was very short and in the fifth minute the results were already fully comparable to the control...
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