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Option pricing under stochastic volatility
Khmelevskiy, Vadim ; Fičura, Milan (advisor) ; Janda, Karel (referee)
This master's thesis focuses on the problem area of option pricing under stochastic volatility. The theoretical part includes terms that are essential for understanding the problem area of option pricing and explains particular models for both option pricing under stochastic volatility and those under constant volatility. The application of described models is performed in the practical part of the thesis. After that particular models are compared to the real data.
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Models of time structures of interest rates and their use in valuation of liabilities of life insurance Company
Turussova, Valeriya ; Witzany, Jiří (advisor) ; Mazáček, David (referee)
This master thesis aims to describe problematics of the stochastic modeling of time structures of interest rates with Vasicek, CIR and Hull-White models and the use of these models in valuation of liabilities and time value of options and guaranties in life insurance. In the theoretical part of the thesis there are fundamentals of stochastic calculus, stochastic models of interest rates and introduction to problematics of life insurance defined. Furthermore, the last practical part of the thesis demonstrates impact of particular models on the value of liabilities in relation to clients and on the value of TVOG of real European life insurance Company.
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The Currency Exchange Effect on the Financial Situation of the Company
Česalová, Iveta ; Burget, Jaroslav (referee) ; Rompotl, Jaroslav (advisor)
This work deals with the currency exchange effects on the financial situation of the company, whose incomes are made up of exports in particular. The theoretical part is aimed at the definition of basic concepts such as currency, exchange rate, currency risk, appreciation and terminology of the financial analysis. The second part deals with the theory of financial derivatives market. The practical part is concentrated on the financial analysis of selected company and its change because of the fluctuation rate of the Czech crown. In the last section provides suggestions for improvement of protection against foreign exchange risk.
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Hedging Interest Rare Risk by the Use Financial Derivatives
Hofmanová, Aneta ; Jonášek, Martin (referee) ; Rejnuš, Oldřich (advisor)
Bachelor thesis focuses on hedging interest rate risk by the use financial derivatives. The theoretical part characterizes financial derivatives, their division and description of each type of derivatives. In an analytical part is monitored development of interest rates in the Czech Republic, followed is analyzed the offer of Czech banks and their subsequent comparison. In the last part is suggested recommendations for company management.
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Financial Derivatives in Praxis
Dalekorejová, Petra ; Sedlák, Petr (referee) ; Sojka, Zdeněk (advisor)
The subject of the Master thesis „Financial Derivatives in Praxis“ is the analysis of the all kinds of financial derivates.The first part of the thesis deals with the general description of the derivates. In the next part of the thesis analysis of individual spices of derivates and their dividing into interest rate derivates and currency derivates is made. The final, practical part of the thesis, is devoted to the practical using of derivates in the hedging interest rate and currency risk on specific examples of companies and the offer of hedging on the Czech financial market.
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Facilities for Exchange Rates Risk Reduction in the Company FLÍDR, s.r.o.
Flídrová, Kristýna ; Polák, Josef (referee) ; Beranová, Michaela (advisor)
Master´s thesis deals with possibilities of exchange rates risk reduction in the company FLÍDR, s.r.o. Exchange rate volatility has begun to be a serious problem of many business entities. Unfortunately, the Czech Republic will not join Economic and Monetary Union of the European Union for longer time. The outcome of Master´s thesis is the suggestion of utilization of financial derivatives and proposal of new financial derivatives. Proposed financial derivatives are composed to minimize exchange rate risk in the company FLÍDR, s.r.o., and to minimize losses caused by exchange rate volatility of Euro currency.
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MV Overhead Line Protections and their Coordination with Autoreclosers
Šoustal, Petr ; Skala, Petr (referee) ; Orságová, Jaroslava (advisor)
The aim of this Master’s Thesis is to describe protections for overhead lines in distribution networks. Here are described requirements for the protection and the basic protections. Protections are divided according to their protective function. For each protection is given its use and its power plans. It is stated in the work setting of protection in the real network. On this network is simulated place with short-circuit and described the action of protection. The work also deals with the coordination of protection with automatic circuit breakers. This chapter shows that, given the selectivity is not possible to deploy two or more reclosers (remotely-operated switches) to the core network management. The next chapter describes two representatives reclosers available on the Czech market OSM 27 and GVR 27. Chapter describes and compares their performance characteristics. Conclusion the work includes a proposal protected the lead in incorporating automatic circuit breakers (remotely operated circuit breakers and reclosers). The proposal is based on two different levels of annual number of interruptions and duration of annual general interruption of electricity supply. For these levels the company EGÚ Brno, a.s. proposed several variants of the use of remote-controlled in terms of reducing the cost of the penalty. Our task was to choose a variant that would be applicable in the real network. Reducing costs is feasible only in the limits Ln = 6 failures / year and Lt = 720 min / year, where the selected option No. 4. The limits Ln = 8 failures / year and Lt = 1,080 min / year, not in the real network may no option in terms of selectivity.
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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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