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Models of inflation and its volatility in CZ
Bisová, Sára ; Hušek, Roman (advisor) ; Pelikán, Jan (referee)
This paper focuses on analysing and modelling inflation and its dynamics in Czech Republic applying a special kind of econometric models. Firstly economic theory of inflation is mentioned - fundamental terms, measuring methods of inflation, the way Czech national bank is monitoring the inflation and obviously a short summary of historical evolution of inflation in Czech economy. In the second part of this paper two econometric concepts of modelling time series are introduced - vector autoregression models (VAR models) and volatility models, concretely ARCH and GARCH models. In connection with the VAR models, Granger causality, impulse response functions, cointegration and error correction models are described. The empirical part includes application of selected models on real time series of chosen macroeconomic indicators. The estimation outputs are interpreted and forecasts are implemented. The quality of chosen econometric models for modelling inflation in Czech Republic is discussed.
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Linear relation in stock time series
Nemčíková, Lucia ; Bašta, Milan (advisor) ; Helman, Karel (referee)
The aim of this Bachelor's Thesis is to verify the hypothesis of absence of linear relations between logarithmic returns in the stock time series, determined from the efficient markets hypothesis and the existence of linear relations between the squares of returns. I used regression analysis and conditional heteroskedasticity ARCH test of linear type, to achieve the results. My own analysis proved that even if there is a linear relation between logarithmic returns, the relation is not significant. On the other hand the linear relation between squares of returns is significant with tendency to be strong, what is a necessary condition for the use of a linear model of volatility.
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Opční strategie
Berezkin, Áron ; Witzany, Jiří (advisor) ; Witzany, Jiří (referee)
The bachelor thesis is focused on a detailed analysis of the option strategy Iron Condor. In the introductory chapter the reader is sufficiently familiarized with basic functioning of the options and with influences that affect their value. Furthermore, detailed description of the strategy Iron Condor is provided including the strategy related context, which a trader needs to be aware of in order to be able to execute the strategy. In conclusion, the strategy is backtested on the U.S. index RUT and the results are analyzed.
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Valuation of options with stochastic volatility
Duben, Josef ; Málek, Jiří (advisor) ; Hudec, Patrik (referee)
The thesis is dealing with option pricing. The basic Black-Scholes model is described, along with the reasons that led to the development of stochastic volatility models. SABR model and Heston model are described in detail. These models are then applied to equity options in the times of high volatility. The models and their application are then evaluated.
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Option strategies
Čech, Petr ; Witzany, Jiří (advisor) ; Witzany, Jiří (referee)
This bachelor thesis focuses on the analysis of option strategies with emphasis on practical aspect of the matter. At the beginning, there is brief introduction to theoretical basis of options, which is required for the advanced topics in this work. The following chapters concentrate mainly on the stock options, but the explained concepts can be used for options with another underlying asset as well. In the second chapter, various option strategies are discussed there. To a number of them, there is stated example from the real market situation. The next part accents the importance of implied volatility on option strategies. The last part briefly summarizes utilization of option strategies in diverse market situations.
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Comparision of spot and option market developement during a financial crisis
Buksová, Jana ; Dvořák, Petr (advisor) ; Jablonský, Petr (referee)
This graduation thesis analyses the spot and forward markets; the focus is on stock and stock-call options for two German companies -- Deutsche Bank and Commerzbank. Price movement and evaluation/devaluation for the financial instrument are measured over a specific period of time. The closing chapter compares both markets using three criteria -- leverage effect, analysis of volume and traded contracts, and how volatility affects the call option price.
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Structure and properties of GARCH(1,1) model
Maštalíř, Jakub ; Pígl, Jan (advisor)
The aim of this thesis is to introduce the reader an econometric approach to financial time series volatility modeling and scrutinize construction, properties and constraints of the popular GARCH(1,1) model when applying it on real market data and in wider sense than it's usually presented in reference literature. In the section 1 we'll repeat some important statistical terms of time series econometrics, which will be needed in next sections. We'll talk a little bit more generally about volatility of an asset, its modeling and measuring at all, because the true values are actually unknown and we observe just its demonstration on the markets. We'll mention some important statistical tools operating as an irreplaceable component of the GARCH(1,1) model, which will be introduce in the section 2. We'll scrutinize its specific properties, advantages, constraints and indeed the statistical inference. Because it's considered as a flexible model with rather general structure we'll also discuss some complications which can occur during its applications and convenient ways to solve them. Implementation of the model will be presented in the section 3. We'll use real market data and show clear demonstration of the scrutinized properties. At the end we'll verify how the model is significant when explaining the volatility of an asset.
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Real Options Analysis of Biopharmaceutical Research and Development Projects
Moc, Miloslav ; Kislingerová, Eva (advisor) ; Scholleová, Hana (referee)
Tato práce se zabývá využitím reálně opčních metod při oceňování výzkumných a vývojových projektů biofarmaceutických firem. Práce odpovídá na otázky jakou reálně opční metodu, jak a kdy při oceňování takovýchto projektů použít. Z provedeného zhodnocení různých reálně opčních metod vyplívá, že binomický model se jeví jako nejvhodnější. Aplikace tohoto modelu je proto následně ilustrována na skutečném biofarmaceutickém projektu. Na závěr je ukázáno, že použití reálně opčních metod je vhodné zejména tehdy když: projekt má nízkou či negativní čistou současnou hodnotu, existuje flexibilita, volatilita a do dokončení projektu chybí dlouhá doba.
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