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Use of Interest Rate Models for Interest Rate Risk Management in the Czech Financial Market Environment
Cíchová Králová, Dana ; Arlt, Josef (advisor) ; Cipra, Tomáš (referee) ; Witzany, Jiří (referee)
The main goal of this thesis is to suggest an appropriate approach to interest rate risk modeling in the Czech financial market environment in various situations. Three distinct periods are analyzed. These periods, which are the period before the global financial crisis, period during the financial crisis and in the aftermath of the global financial crisis and calming subsequent debt crisis in the eurozone, are characterized by different evaluation of liquidity and credit risk, different relationship between financial variables and market participants and different degree of market regulations. Within this goal, an application of the BGM model in the Czech financial market environment is crucial. Use of the BGM model for the purpose of predicting a dynamics of a yield curve is not very common. This is firstly due to the fact that primary use of this model is a valuation of interest rate derivatives while ensuring the absence of arbitrage and secondly its application is relatively difficult. Nevertheless, I apply the BGM model to obtain predictions of the probability distributions of interest rates in the Czech and eurozone market environment, because its complexity, direct modeling of a yield curve based on market rates and especially a possibility of parameter estimation based on current swaptions volatilities quotations may lead to a significant improvement of predictions. This improvement was also confirmed in this thesis. Use of swaptions volatilities market quotations is especially useful in the period of unprecedented mone- tary easing and increased number of central banks and other regulators interventions into financial markets that occur after the financial crisis, because it reflects current market expectations which also include future interventions. As a consequence of underdevelopment of the Czech financial market there are no market quotations of Czech koruna denominated swaptions volatilities. I suggest their approximations based on quotations of euro denominated swaptions volatilities and also using volatilities of koruna and euro forward rates. Use of this approach ensures that predictions of the Czech yield curve dynamics contain current market expectations. To my knowledge, any other author has not presented similar application of the BGM model in the Czech financial market environment. In this thesis I further predict a Czech and Euro area money market yield curve dynamics using the CIR and the GP models as representatives of various types of interest rates models to compare these predictions with BGM predictions. I suggest a comprehensive system of three criteria, based on comparison of predicti- ons with reality, to describe a predictive power of selected models and an appropria- teness of their use in the Czech market environment during different situations in the market. This analysis shows that predictions of the Czech money market yield curve dynamics based on the BGM model demonstrate high predictive power and the best 8 quality in comparison with other models. GP model also produces relatively good qua- lity predictions. Conversely, predictions based on the CIR model as a representative of short rate model family completely failed when describing reality. In a situation when the economy allows negative rates and there is simultaneously a significant likelihood of their implementation, I recommend to obtain predictions of Czech money market yield curve dynamics using GP model which allows existence of negative interest rates. This analysis also contains a statistical test for validating the predictive power of each model and information on other tests. Berkowitz test rejects a hypothesis of accurate predictions for each model. However, this fact is common in real data testing even when using relatively good model. This fact is especially caused by difficult fulfilment of test conditions in real world. To my knowledge, such an analysis of the predictive power of selected interest rate models moreover in the Czech financial market environment has not been published yet. The last goal of this thesis is to suggest an appropriate approach to obtaining pre- dictions of Czech government bonds risk premium dynamics. I define this risk premium as a difference between government bond yields and fixed rate of CZK IRS with the same length. I apply the GP model to describe the dynamics of this indicator of the Czech Republic credit risk. In order to obtain a time series of the risk premium which are necessary for estimation of GP model parameters I firstly estimate yield curves of Czech government bonds using Svensson model for each trading day since 2005. Resulting si- mulations of risk premium show that the GP model predicts the real development of risk premiums of all maturities relatively well. Hence, the proposed approach is suitable for modeling of Czech Republic credit risk based on the use of information extracted from financial markets. I have not registered proposed approach to risk premium modeling moreover in the Czech financial market environment in other publications.
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Modelling, parameter estimation, optimisation and control of transport and reaction processes in bioreactors.
ŠTUMBAUER, Václav
With the significant potential of microalgae as a major biofuel source of the future, a considerable scientific attention is attracted towards the field of biotechnology and bioprocess engineering. Nevertheless the current photobioreactor (PBR) design methods are still too empirical. With this work I would like to promote the idea of designing a production system, such as a PBR, completely \emph{in silico}, thus allowing for the in silico optimization and optimal control determination. The thesis deals with the PBR modeling and simulation. It addresses two crucial issues in the current state-of-the-art PBR modeling. The first issue relevant to the deficiency of the currently available models - the incorrect or insufficient treatment of either the transport process modeling, the reaction modeling or the coupling between these two models. A correct treatment of both the transport and the reaction phenomena is proposed in the thesis - in the form of a unified modeling framework consisting of three interconnected parts - (i) the state system, (ii) the fluid-dynamic model and (iii) optimal control determination. The proposed model structure allows prediction of the PBR performance with respect to the modelled PBR size, geometry, operating conditions or a particular microalgae strain. The proposed unified modeling approach is applied to the case of the Couette-Taylor photobioreactor (CTBR) where it is used for the optimal control solution. The PBR represents a complex multiscale problem and especially in the case of the production scale systems, the associated computational costs are paramount. This is the second crucial issue addressed in the thesis. With respect to the computational complexity, the fluid dynamics simulation is the most costly part of the PBR simulation. To model the fluid flow with the classical CFD (Computational Fluid Dynamics) methods inside a production scale PBR leads to an enormous grid size. This usually requires a parallel implementation of the solver but in the parallelization of the classical methods lies another relevant issue - that of the amount of data the individual nodes must interchange with each other. The thesis addresses the performance relevant issues by proposing and evaluation alternative approaches to the fluid flow simulation. These approaches are more suitable to the parallel implementation than the classical methods because of their rather local character in comparison to the classical methods - namely the Lattice Boltzmann Method (LBM) for fluid flow, which is the primary focus of the thesis in this regard and alternatively also the discrete random walk based method (DRW). As the outcome of the thesis I have developed and validated a new Lagrangian general modeling approach to the transport and reaction processes in PBR - a framework based on the Lattice Boltzmann method (LBM) and the model of the Photosynthetic Factory (PSF) that models correctly the transport and reaction processes and their coupling. Further I have implemented a software prototype based on the proposed modeling approach and validated this prototype on the case of the Coutte-Taylor PBR. I have also demonstrated that the modeling approach has a significant potential from the computational costs point of view by implementing and validating the software prototype on the parallel architecture of CUDA (Compute Unified Device Architecture). The current parallel implementation is approximately 20 times faster than the unparallized one and decreases thus significantly the iteration cycle of the PBR design process.
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New Methods for Increasing Efficiency and Speed of Functional Verification
Zachariášová, Marcela ; Dohnal, Jan (referee) ; Steininger, Andreas (referee) ; Kotásek, Zdeněk (advisor)
Při vývoji současných číslicových systémů, např. vestavěných systému a počítačového hardware, je nutné hledat postupy, jak zvýšit jejich spolehlivost. Jednou z možností je zvyšování efektivity a rychlosti verifikačních procesů, které se provádějí v raných fázích návrhu. V této dizertační práci se pozornost věnuje verifikačnímu přístupu s názvem funkční verifikace. Je identifikováno několik výzev a problému týkajících se efektivity a rychlosti funkční verifikace a ty jsou následně řešeny v cílech dizertační práce. První cíl se zaměřuje na redukci simulačního času v průběhu verifikace komplexních systémů. Důvodem je, že simulace inherentně paralelního hardwarového systému trvá velmi dlouho v porovnání s během v skutečném hardware. Je proto navrhnuta optimalizační technika, která umisťuje verifikovaný systém do FPGA akcelerátoru, zatím co část verifikačního prostředí stále běží v simulaci. Tímto přemístěním je možné výrazně zredukovat simulační režii. Druhý cíl se zabývá ručně připravovanými verifikačními prostředími, která představují výrazné omezení ve verifikační produktivitě. Tato režie však není nutná, protože většina verifikačních prostředí má velice podobnou strukturu, jelikož využívají komponenty standardních verifikačních metodik. Tyto komponenty se jen upravují s ohledem na verifikovaný systém. Proto druhá optimalizační technika analyzuje popis systému na vyšší úrovni abstrakce a automatizuje tvorbu verifikačních prostředí tím, že je automaticky generuje z tohoto vysoko-úrovňového popisu. Třetí cíl zkoumá, jak je možné docílit úplnost verifikace pomocí inteligentní automatizace. Úplnost verifikace se typicky měří pomocí různých metrik pokrytí a verifikace je ukončena, když je dosažena právě vysoká úroveň pokrytí. Proto je navržena třetí optimalizační technika, která řídí generování vstupů pro verifikovaný systém tak, aby tyto vstupy aktivovali současně co nejvíc bodů pokrytí a aby byla rychlost konvergence k maximálnímu pokrytí co nejvyšší. Jako hlavní optimalizační prostředek se používá genetický algoritmus, který je přizpůsoben pro funkční verifikaci a jeho parametry jsou vyladěny pro tuto doménu. Běží na pozadí verifikačního procesu, analyzuje dosažené pokrytí a na základě toho dynamicky upravuje omezující podmínky pro generátor vstupů. Tyto podmínky jsou reprezentovány pravděpodobnostmi, které určují výběr vhodných hodnot ze vstupní domény. Čtvrtý cíl diskutuje, zda je možné znovu použít vstupy z funkční verifikace pro účely regresního testování a optimalizovat je tak, aby byla rychlost testování co nejvyšší. Ve funkční verifikaci je totiž běžné, že vstupy jsou značně redundantní, jelikož jsou produkovány generátorem. Pro regresní testy ale tato redundance není potřebná a proto může být eliminována. Zároveň je ale nutné dbát na to, aby úroveň pokrytí dosáhnutá optimalizovanou sadou byla stejná, jako u té původní. Čtvrtá optimalizační technika toto reflektuje a opět používá genetický algoritmus jako optimalizační prostředek. Tentokrát ale není integrován do procesu verifikace, ale je použit až po její ukončení. Velmi rychle odstraňuje redundanci z původní sady vstupů a výsledná doba simulace je tak značně optimalizována.
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Composing Data-driven Circuits Using Handshake in the Clock-Synchronous Domain
Sýkora, Jaroslav
We present a technique for modelling and synthesis of fine-grained data-driven circuits in the clock-synchronous hardware, such as the field programmable gate arrays (FPGA), called the Flow-Transfer Level (FTL). The distinguishing property of the FTL technique is that it does not rely on FIFO queues to handle flow synchronization between the components (called operators). The communication channels, called pipes, employ conceptually a two-state handshake protocol. The handshake behaviour of each operator is defined logically using dependency subgraphs that are symmetrical for producers and consumers. The original data-flow netlist of operators is transformed into a global control dependency graph. Cycles in dependency graphs are allowed as long as they do not constitute real data dependencies but only dependencies in promises of handshake completions. A method is given that recursively eliminates these cycles.
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Online Subject Searching of Dissertations
Bratková, Eva
This paper evaluates searching for doctoral dissertations by topic in various online systems. The situation in the Czech Republic is introduced, including the problems involved in completing successful topical searches for dissertations – is it possible to find all relevant materials, or is it sufficient just to find something? The Czech situation is then compared with how systems abroad, particularly in the United States, are being implemented with new access routes for dissertations in the form of linked open data, in which controlled vocabularies of subject terms figure prominently. The paper also discusses how selected European systems whose dissertations are already presented in the WorldCat database will cope with a challenge: “... Over time, these references [for topic entities] will be replaced with persistent URIs to... Linked Data resources”?
Fulltext: idr-1034_3 -  PDF; idr-1034_4 - PDF
Slides: idr-1034_1 - PDF; idr-1034_2 - PDF
Video: idr-1034_5 -  MP4
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Pre-medical first aid for children suffering from intoxication
ROUSKOVÁ, Žaneta
The issue of this bachelor's thesis is pre-medical first aid for children with intoxication. The aim of this bachelor's thesis was to chart the level of knowledge among ambulance employees in the South Bohemia and Vysočina regions of the pre-medical first aid for intoxicated children and to detect the way these health employees are educated in problems of peadiatrics outside the frame of the credit system. The theoretical part describes the obligation of education for first responders and their competence in connection with first aid. At the same time I describe the separation ofchildren's ages and the physiology of individual age groups , basic first aid, extended first aid, technical and personal. Later chapters contein the frequency of intoxication of children, it's symptoms, treatment and specifics. The research part was made by a guantitative method. The anonymous questionnaires were given out to paramedics and nurses in the South Bohemia region and Vysočina region. At the start of the bachelors thesis two hypothesis were determinated. The first hypothesis says that ambulance workers in the South Bohemia region have the same knowledge of pre-medical first aid for children with intoxication as ambulance workers in the Vysočina region. The second hypothesis claims: Ambulance workers in the South Bohemia region and in the Vysočina region have no education in the field of paediatrics outside the frame of the credit system. The first hypothesis was refuted. Knowledge of the respondents was evaluated in the field of intoxication in pediatrics by the test questions. Success of the respondents from South Bohemia region corresponds in 87 % and success in Vysočina region corresponds in 85 % in the test questions. Second hypothesis was confirmed. The 20 % of respondents argue that they are educated over the framework of the credit system in pediatrics and 80 % of respondents answered that they don't educate themselves. Bachelor thesis could contribute for students in medical specialization and also for health professionals, especially to complete the information about child intoxication field. Recommendation for personnel of emergency medical services for future graduates of medical disciplines is lifelong learning, enhance and complement their knowledge.
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Role of the nurse in screening for depression in the elderly.
VRZALOVÁ, Monika
The diploma thesis deals with problems of depression in older people. Mainly the work is focused on identifying and analyzing the role of nurses in screening for depression in older people in primary care, acute care, long-term care and home care. This thesis was focused on theoretical direction and was used the method of design and demonstration. In this thesis was set one main goals with five research questions. The main goal was to identify and analyze the role of nurses in screening for depression in the elderly. RQ 1: What is the role of the nurse in screening for depression in the elderly? RQ 2: What is the role of the nurse in the primary care in screening for depression in the elderly? RQ 3: What is the role of the nurse in screening for depression in hospitalized patients in acute care? RQ 4: What is the role of the nurse in screening for depression in seniors in long-term and home care? RQ 5: What rating scales and methods are used in screening for depression in the elderly? The thesis introduce the concept of depression. The following are specified the causes of and the important factors that affect depression in the elderly. It also deals the differences in the clinical symptomatology of depression in old age. It explains possibilities and various barriers in the diagnosis of depression. Another chapter introduces complete geriatric examination, diagnostic classification systems, possible screening methods and scales for detection of depression in the elderly population. It also deals methods of pharmacological and non-pharmacological treatment and its possible complications associated with older age. By reason of increased suicide rate caused by depressive disorder the issue of suicidal behavior in the elderly is introduced. The next chapter deals with the nursing process, which is used by nurses in practice. It consists of the evaluation of the patient's health condition, making nursing diagnosis, creating nursing plan and subsequent implementation and evaluation. The nursing process is also needy for providing quality care. The nursing process in the stage of nursing diagnosis, introduces possible nursing diagnosis for a patient suffering from depression, which are based on the latest classification. Finally is described the role of nurses in screening for depression in the elderly in different health facilities and their contribution to the timely evaluation of depression in the elderly. This chapter introduces the role of nurses, nursing screening and collaboration with a physician. The role of nurses in screening for depression in different medical facilities is based on the first phase of the nursing process of assessment. On the basis of objective and subjective information, the nurse will assess the overall health and mental condition of the patient. Primarily, it was investigated what is the role of the nurse in screening for depression. On the basis of content analysis and synthesis it was necessary to used and processed domestic and foreign literature. A number of relevant sources are the results of various studies and Meta-analyzes, mostly from abroad, but also from the Czech Republic. The thesis can serve as a basis for nurses. The result of this thesis is to create e-learning material available for students in the Faculty of Health and Social Sciences of South Bohemia in Ceske Budejovice in the tutorial called Moodle.
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Charity Projects of Organizations Providing Care for Children with Disabilities in South Bohemia
LANDOVÁ, Lenka
The bachelor thesis "Charity Projects of Organisations Providing Care for Children with Health Disability in the Region of South Bohemia" deals with those projects that were founded by non-profit organisations and that provide care for children with health disability in the Region of South Bohemia. The aim of this thesis is to chart the charity projects of above mentioned organisations and to find out what is a proper and effective way to create them and what methods and procedures are used by non-state, non-profit organisations. The first research inquiry refers to a successful implementation of these projects. The result will be not only a realisation what kind of projetcs were created by the above mentioned organisations but also what is important for an organisation itself. Within the bounds of the second research inquiry I find out wheather there is an optimal procedure for the implementation of the charity projects of non-state, non-profit organisations. A qualitative method was used for a research part of this thesis. I used a method of a half-structured interview, a technique of a personal interview. A research group was selected for bringing the research into practice, which includes nine organisations seleceted from non-state, non-profit organisations providing a care for health disabled children in the Region of South Bohemia. It is more difficult for non-state, non-profit organisations it this field to obtain enough finances for providing services and for obtaining necessary aids than for state non-profit organisations because of different ways of fundraising . A non-state, non-profit organisation has several possibilities how to obtain necessary material and non-material sources. There are charity projects that offer means of selfless help; provided they are successful, they help the organisation to obtain necessary sources. It emerged from the research that it was very important for non-state, non-profit organisations to get a multi-source fundraising and supporters of their projects, mainly donors and sponsors, to obtain available care for children with heath disability. On the basis of the research, it is possible to state that non-state, non-profit organisations providing care for children with health disability, implemented many successful projects. The results of this thesis can be used in the way of an informative material for setting a complete view of a solution of the problems of the above mentioned organisations projects.
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Use of e-learning education of universal nurses in Militari university hospital - University hospital Prague
JANKŮ, Kamila
The diploma work submitted is called The Use of E-Learning Education of Nurses in the Central Military Hospital Military University Hospital Prague. The theoretical part of the diploma work deals especially with the significance of e-learning, distance learning, history of education of nurses in the Czech Republic and e-learning in health care. In addition, the work includes information of the Central Military Hospital and describes its present circumstances and use of e-learning in the working process. 5 aims and 4 hypotheses were set for the quantitative research. The first aim was to determine the time demands of the e-learning courses study. The second aim was to determine the attitude of general nurses to e-learning education. The third one focused on contribution of e-learning education for general nurses and for the hospital management. The last aim focused on satisfaction of general nurses with the form, contents and diversity of e-learning courses. The fourth aim was used to determine reasons leading for development of e-learning courses for general nurses. Four hypotheses were determined: H1: It takes less time to complete e-learning course studies than regular studies. H2: Nurses younger than 30 years of age prefer e-learning education unlike nurses older than 30. H3: The effectiveness of regular studies is better than the effectiveness of e-learning education. H4: E-learning courses are not as financially demanding as regular courses. The data collection technique consisted in our own anonymous non-standardized questionnaire containing 32 items. The research file consisted of 212 general nurses working in clinical departments of the Central Military Hospital. An additional method was based on a dialogue with the Education Team Manager of the Central Military Hospital. The research results related to the hypotheses show that completing e-learning course studies does not take less time than completing a regular course. Nurses younger than 30 years of age do prefer e-learning education contrary to nurses older than 30. The effectiveness of regular courses in contrast to e-learning education has not been confirmed as well as the fact that financial demands of an e-learning course are lower than financial demands of a regular course. Further, nurses prefer regular forms of studies, mostly with their passive participation in an educational event; however, they find completion of e-learning courses more convenient. Most respondents also expressed a positive opinion on the form, contents and diversity of e-learning courses. Courses include enough information for preparation of a final test and nurses find the number of courses necessary for periodical evaluation adequate. What they consider limiting is the impossibility to retake the final test; they mostly suggested it should be allowed to take the final test twice or three times. The research implies that a higher percentage of the respondents spend as much time as they want studying. Nurses still prefer regular forms of studies with passive participation to the e-learning form. Most nurses have a positive opinion on the current contents of courses in the form of a text format. The course topics are mostly based on suggestions by members of the Non-Medical Professions Education Team of the Central Military Hospital. The research results will be presented at the next regular meeting of members of the Non-Medical Professions Education Team of the Central Military Hospital. Procedures for improvement of the form of the current courses will be presented and proposed as well as the possibility to develop communication between the author and students, the limiting impossibility to retake final tests and the suggestions concerning the number of possibilities to retake them.
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