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Legal issues of derivatives
Kessler, Tomáš ; Kotáb, Petr (advisor) ; Kohajda, Michael (referee)
1 Legal Issues of Derivatives Abstract Derivatives symbolize one of the most successful instruments of international markets in 20. century boosted by ongoing globalization and never-ending technological progress. Though origins of derivatives could had been found in Ancient times, the real "explosion" of derivatives has blown in last two centuries. The essential objective and purpose of the thesis is firstly to analyse the true meaning and definition of the term "derivative" and surrounding legal issues and secondly to provide comprehensive list of basic derivatives according to the historical and financial-economic indicators. My thesis consists of six chapters. First two introductory chapters deal with the general aspects of derivatives, such as definition and legal nature. Derivatives, generally speaking, are legal contracts between market participants allowing contracting parties to transfer risks connected with particular underlying to another party or speculate on market movements in order to gain profits. Derivatives are traded in both, standardized and OTC markets, which embodied them with ultimate flexibility and range. Assessing true legal nature of derivatives stands for one of the main issues concerned by academics and practitioners, in particular whether derivatives fall under the category of...
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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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The endocrine function of adipose tissue and its importance for initiation and development of insulin resistance and diabetes
Haluzík, Michal ; Schreiber, Vratislav (advisor) ; Marešová, Dana (referee) ; Šeda, Ondřej (referee)
Endocrine production of adipose tissue is a very complex process affected by numerous endogenous and exogenous stimuli. Peroxisome proliferator-activated receptors-alpha (PPAR-) are important modulators of metabolic processes which can also affect endocrine function of adipose tissue. Recently, numerous novel factors produced by adipose tissue with important metabolic effects were identified. Some of them can directly bind PPAR receptors. One of the examples of these factors is fatty acid binding protein 4 (FABP4) which can directly bind PPAR receptors and indirectly modify its activation by changing availability of endogenous PPAR ligands -free fatty acids. We hypothesized that the mechanism of action of PPAR receptors to metabolic processes may partially lie in their complex interaction with adipose tissue-derived hormones. The unraveling of these interactions may have important consequences in finding approaches to treat patients with type 2 diabetes mellitus. (...) In summary, our data show an important role for the interplay of PPAR activation and endocrine function of adipose tissue in metabolic regulations which may have important clinical consequences.
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Quantitative structure-antimycobacterial acitivity relationships in the group of potential antituberculotics
Doležal, Rafael ; Waisser, Karel (advisor) ; Lehotay, Jozef (referee) ; Ponec, Robert (referee)
DOLEŽAL Rafael: Quantitative relationships between the structure and antimycobacterial activity of selected potential antituberculotics. Hradec Králové: Faculty of Pharmacy in Hradec Králové, Charles University in Prague, 2008, 274 pp. Ph.D. Thesis. The Ph.D. thesis deals with analysis of quantitative relationships between the structure and antimycobacterial activity (QSAR) of four structural classes of potential antituberculotics - derivatives of N-phenylcarbamic acid esters, derivatives of 1-phenyl-1H-tetrazole-5-thiol, derivatives of salicylamides and derivatives of salicylthioamides. In total, 600 computer models of different compounds were created. 204 of them, after conformational analysis in HyperChem 7.52 and geometric optimization with the B3LYP/6-31G* DFT method in Gaussian 03, provided data for calculation of several types of descriptors. Attention was turned especially to local, quantum-chemical descriptors of electronic properties, such as superdelocalizability, index of frontier electron density and Mulliken electric charge. The QSAR analyses are based on searching for statistically significant correlations between the antimycobacterial activities in vitro and a matrix of various descriptors by means of multiple linear regression (MLR) with the use of a selection algorithm, by the...
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Control of self-balancing mobile robot
Vyoral, Jakub ; Hrabec, Jakub (referee) ; Šolc, František (advisor)
This thesis contains derivation of mathematical model of self-balancing Segway like scooter, its proper verification and design of state space control. Model is based on Lagrange equations. Constants of state space controller are tested on linearized system. Practical realization uses design environment of Matlab Simulink with xPC Target extension for real-time control.
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Deformations of viscoelastic materials - modeling and computational analysis of selected models
Tůma, Karel ; Málek, Josef (advisor) ; Matyska, Ctirad (referee)
In the present work we derive two nonlinear models for incompressible rate type fluids that describe the behaviour of the viscoelaastic fluids. Making the linearization of the elastic response, we obtain two models similar to the popular models for viscoelastic fluid - Oldroyd-B and Burgers model. Furthermore, we modify the nonlinear model by assuming that one of the coefficient depends on the first invariant of the deformation gradient. We present an experiment that documents the stress relaxation of asphalt in the cylindrical geometry. We study the flow at two different eometries - the paralel plate flow and the axially symmetric cylinder flow. If it is possible, the problems are solved analytically, otherwise they are solved numerically. We investigate what model is capable of fitting the experimental data.
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Zdroj monoenergetických elektronů pro monitorování spektrometru v neutrinovém experimentu KATRIN
Slezák, Martin ; Vénos, Drahoslav (advisor) ; Vorobel, Vít (referee)
The international project KATRIN (KArlsruhe TRItium Neutrino experiment) is a next- generation tritium beta decay experiment. It is designed to measure the electron antineutrino mass by means of a unique electron spectrometer with sensitivity of 0.2 eV/c2 . This is an improvement of one order of magnitude over the last results. Important part of the measurement will rest in continuous precise monitoring of high voltage of the KATRIN main spectrometer. The monitoring will be done by means of conversion electrons emitted from a solid source based on 83 Rb decay. Properties of several of these sources are studied in this thesis by means of the semiconductor gamma-ray spectroscopy. Firstly, measurement of precise energy of the 9.4 keV nuclear transition observed in 83 Rb decay, from which the energy of conversion electrons is derived, is reported. Secondly, measurement of activity distribution of the solid sources by means of the Timepix detector is described. Finally, a report on measurement of retention of 83 Rb decay product, the isomeric state 83m Kr, in the solid sources is given.
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