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Optimal trading and pricing of financial derivatives
Samek, Daniel ; Dostál, Petr (advisor) ; Hlubinka, Daniel (referee)
In the text of this thesis we deal with the task of valuing financial derivatives. The theory is based on the Douglas theorem and its financial interpretation upon which we state replication theorem. These theorems connect martingale measures and existence of no-arbitrage price of derivative in both discrete and continuous time. Next part discusses trading strategies maximizing expected utility and their impact on existence of martingale measure. In the last chapter there are stated fundamental theorems of asset pricing which sum up main previous results. Powered by TCPDF (www.tcpdf.org)
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Tools used to ensure the exchange rate and interest rate risk
Klípová, Iva ; Votava, Libor (advisor)
The goal of thesis is to clarify the nature of the exchange rate and interest rate risk and the possibility to describe the management of these risks. It represents the individual tools used to ensure the exchange rate and interest rate risk and the specific examples explaining the principle of their functioning. The thesis is divided into three parts - the exchange rate hedging, interest rate hedging and risk management, or a summary of each procedure, a brief guide for managers of companies involved in the risk of fluctuations in exchange rates or interest rates touching. Case studies of specific examples shows the possibilities of treatment of exchange rate risk - the exporter trading currency pair EUR / CZK.
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Reporting of financial derivatives
Votoček, Filip ; Strouhal, Jiří (advisor) ; Doucha, Rudolf (referee)
Thesis is devoted to basic aspects of the reporting of financial derivatives. Mentioned is brief history and determination of term "derivative" from different points of view. Follows diversification of financial derivatives into groups. The main part is focused on reporting of fixed term contracts and options. Finally is described approach of International Financial Reporting Standards.
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The use of derivatives in public debt management
Polesný, Michal ; Dvořák, Petr (advisor) ; Daňhel, Jaroslav (referee)
The thesis analyses several ways to use financial derivatives in public debt management. It mainly focuses on the manager's motives to use derivatives, associated risks and other fundamental aspects, including the known examples of a questionable use of swaps. In the last chapter the thesis also uses historical data to determine whether the use of derivatives can have a positive effect on the Czech republic's interest expenditures.
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Pricing of Financial derivatives – European options
Mertl, Jakub ; Pánková, Václava (advisor) ; Čížek, Martin (referee)
In the present study I deal with a pricing of derivatives especially with the European option. In the first chapter there are described basic principles of pricing financial derivatives. I focus on the options strategies from the simplest to the more difficult one. The second chapter is dedicated to the Binomial pricing model. It is introduced its derivation, application, its pro and con. Next chapter contains a description of Black-Scholes model. Again it is explained derivation of this model and its properties. At the end of this chapter it is described relationship between Binomial and Black-Scholes models. The forth chapter is consisted of an analysis of real data of stocks company Philip Morris International, Lehman brothers Holding and American Insurance Group. I focus on the relationship between shares and options in time of the financial crisis. Last chapter is dedicated to the description of software concerning options which was created in Microsoft Excel and which is part of this study.
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