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National Repository of Grey Literature 2 records found  Search took 0.00 seconds. 
Capital protected funds
 Houdek, Ondřej ; Witzany, Jiří (advisor) ; Prokop, Martin (referee)
This thesis is mainly focused on pricing securities of selected capital protected funds. In its theoretical part, there are summarized approaches and principals that are generally used for derivatives pricing because capital protected funds' securities contain embedded options. Emphasis is put on risk-neutral pricing using Monte Carlo simulation at that point because complicated pay-off functions of these funds are hard to be evaluated analytically. There are also presented main approaches to constructions and portfolio management of these funds from their portfolio manager's viewpoint. Finally, there is made an overview of basic types of capital protected funds issued both in The Czech republic and Europe. Analytical part is focused on evaluation of selected capital protected funds. There is applied a standard approach that is based on a simulation of Geometric Brownian Motion with constant conditional variance and correlation in contrast with an advanced approach where the conditional variance and conditional correlation matrix are simulated as well. That is accomplished with GARCH-in-mean and DCC-GARCH models. Estimated prices are compared with real market prices and there is also performance of the standard models compared with performance of advanced ones.
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Possibilities and methods of FX risk managing
 Houdek, Ondřej ; Brůna, Karel (advisor)
This paper focuses on businesses participating in international trade in terms of their possibilities to eliminate FX risk. There are currency derivatives analysed in the paper with en emphasis on their value drivers. I've also mentioned interest rate differentials, expacted exchange rates and anticipated asssets yields as their key value drivers. A practical part deals with a systematic application of singular derivatives to long positions. The examined period is 2008. The results indicate that derivatives don't protect businesses from loses if there is a medium or long-run domestic currency appreciation involved. It basicaly turned out that cash-flow converted to czech crown kept deteriorating as if there were no hedging instruments applied.
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