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Pricing of gas swing options
Pokorná, Andrea ; Janda, Karel (advisor) ; Vošvrda, Miloslav (referee)
Even though contracts for the purchase and sale of natural gas providing an offtake flexibility concerning volume and time (gas sales agreements) have been commonplace in the natural gas industry for many years, the development of techniques for pricing them has not followed at the same pace. This thesis is motivated by the changing nature of the natural gas industry in the European Union, which is asking for a mark-to-market evaluation of these contracts. The flexibility provided by these contracts is then regarded as a financial option, called a "gas swing option". Since the gas swing option is actually a set of several American puts on a spread between prices of two or more energy commodities, we devote one section of the text to the theory on spread option pricing. Due to the specific features of the energy markets the existing analytic approximations for spread option pricing are hardly applicable to our framework. That is why we employ numerical methods and model the spot price dynamics through stochastic processes capturing such features. The price of an arbitrarily chosen gas swing option is then computed in accordance with the concept of risk-neutral expectations, i.e. is considered as an expectation of discounted future cash flows for a probability structure called risk-neutral. Finally, our...
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Analysis of real and nominal convergence of the Visegrad Group in the years 2000-2015
Wikturna, Jan ; Strejček, Ivo (advisor) ; Zamrazilová, Eva (referee)
This Bachelor thesis is focused on a macroeconomic analysis of the process of the real and nominal convergence of the Visegrad Group countries to the old member states of the European Union, called EU-15 during the period of 2000-2015. The objective of the analysis is to confirm or disprove the hypothesis that in the selected period there is a convergence of the economically backward V4 countries with the advanced EU-15 countries and to highlight the factors that are behind the narrowing of the gap in economics and price levels. The theoretical part deals with the ways in which we measure and compare the economic performance and economic level, and explains the different approaches of the problem of economic growth and the subsequent catching up effect. The practical part is focused on a comparison of elected macroeconomic indicators and reference is made to the selected factors to determine whether, and for what reasons, the economic convergence of these selected countries made towards the developed countries of the EU-15. The analytical part confirms the ongoing process of the real and nominal convergence throughout the period, but its course is varied during different times of the period. In conclusion, it is found that the rate varied by the convergence processes and in fact positively affected the V4 countries, that joined the European Union. The incoming dynamics of the convergence, especially the prices, were significantly disrupted by the economic crisis.
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Biomarkers in Myocardial Damage Diagnostics
KOPŘIVOVÁ, Olga
Anotace (abstract) Biomarkers diagnosing myocardial damages have recently been a very dynamically developing part of clinical biochemistry. Implementing of new biomarkers is very prompt; they are mostly implemented into practice without wider clinical and analytical experience. During a few years these are new methods to determine myoglobin, troponins (cTnI, cTnT), CK-MB mass, BNP etc. The effort of clinical biochemists and cardiologists is to cover all phases and levels of myocardial damage in acute coronary syndromes by means of cardio markers. These investigations are dramatically changing the view of diagnosis, determination of prognosis and therapy in acute coronary syndromes. In my thesis I covered retrospective data analysis in patients with the pain in the chest, presented at an inpatient clinic. The value of myocardial damage indicators and their dynamism was analysed from the definitive diagnosis point of view. I performed my own analysis at OKB Nemocnice Písek, a.s. (Hospital Písek, Inc.). The aim of my thesis was to cover the significance of particular myocardial damage markers and find out if investigated set of markers is sufficient for correct and prompt diagnosis of acute myocardial infarction. In terms of this thesis I tried to find out if the panel of cardiac markers contains excess values. In OKB Písek, a.s. the panel of myocardial damage markers includes: myoglobin, troponin I, CK-MB mass and the marker of heart failure BNP. In the samples of fifty-six patients I analysed the presence of the above mentioned markers of myocardial damage and heart failure. I examined only the markers which were determined by a physician. In the group of investigated patients with chest pain, measured values of troponins proved myocardial infarction in sixteen patients, values of CK-MB mass in sixteen patients and values of myoglobin in twelve patients. In the control group of twenty patients with chest pain the boundary values of troponin I were measured in two patients, without the increase of other myocardial damage markers. High value of troponin I was measured in two patients in non-ischemic myocardial damage (acute pericarditis), which agrees with data in scientific literature. The thesis shows that the level of troponin I reflects myocardial damage relatively accurately; troponin I is sufficiently cardio specific but is not a sufficiently early marker. For early management of acute myocardial infection it is important to determine myoglobin, which is detectable within two hours since the beginning of troubles but is not sufficiently cardio specific. The course of CK-MB mass elevation wave copies the course of troponin I elevation wave. That is why the investigation of this marker appears to be excessivet at current investigation of troponin I and myoglobin to prove myocardial damage, which is in agreement with scientific association recommendations.
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Spatial and temporal dynamics of enzyme activity distribution in soils with respect to soil fungi
Baldrian, Petr ; Šnajdr, Jaroslav ; Valášková, Vendula ; Cajthaml, Tomáš ; Merhautová, Věra
Activity of laccase, Mn-peroxidase, endo-1,4-β-glucanase, endo-1,4-β-xylanase, cellobiohydrolase, β-glucosidase and β-xylosidase in forest soil (with dominant Quercus sp.) exhibited high but inconsistent variation. Enzyme activity decreased with soil depth as well as fungal biomass and the fungal/bacterial biomass ratio
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Dynamics of monetary integration with a focus on EMU
Kříž, Karel ; Mládek, Josef (advisor) ; Urban, Luděk (referee)
In context of recent development in the euro area it is obvious that the status quo is unsustainable and it is necessary to execute certain measures which would ensure its functioning in the future. The aim of this thesis is to find out the most appropriate solution for the European Union as a whole. Thesis presents and compares the three most likely scenarios for future development. A brief overview of the development of European integration, the concept of optimum currency area with the criteria for its better functioning and examples of other monetary unions with the threats they could possibly face are included for better understanding of the issue.
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Residential real estate market during the financial crisis : empirical evidence from the CEE region
Hrachovec, Martin ; Vacek, Pavel (advisor) ; Streblov, Pavel (referee)
1 Abstract This thesis investigates the housing price determinants and possibilities of housing price bubbles in the residential real estate markets of Central and Eastern Europe before and during the economic crisis of 2007-2009. Using data from international institutions, national central banks and national statistical offices three quantitative methods are applied. Price-to-income ratios suggest housing price bubbles that were eliminated during the crisis in three out of five countries covered. Second approach of simple panel data models sheds additional light on housing price bubbles and indicates GDP growth, unemployment and average real wage as the main determinants of housing prices in the region. First indication of severe housing price persistence in CEE is demonstrated by the results of the models as well. More reliable results for housing price determinants are obtained from variance decomposition and impulse response functions of vector autoregression models. Each country is modeled separately and substantial differences exist between the countries. Poland is the only country that does not exhibit housing price persistence and dynamics in Austria are less volatile as compared to the new EU members in the sample. JEL Classification G12, E39, R21, R31, R32 Keywords residential real estate, housing...
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