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Calculation of capital requirements of market risk for options on stock's basket
Lendacký, Peter ; Myška, Petr (advisor) ; Večeř, Jan (referee)
The goal of the paper is to compare different approach in calculation of capital requirement of market risk for options on stock's basket and describe their impact on selected instrument. The first part of the paper describes possible approaches for the capital requirement calculation, namely Standardized approach and Internal model approach, and the theoretical base for option pricing. An instrument with the embedded option on equities was chosen to show the impact. Although the instrument is valued using Monte Carlo simulation, one chapter is devoted to Black-Scholes model as the base model for option pricing. Powered by TCPDF (www.tcpdf.org)
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Calculation of capital requirements of market risk for options on stock's basket
Lendacký, Peter ; Myška, Petr (advisor) ; Večeř, Jan (referee)
The goal of the paper is to compare different approach in calculation of capital requirement of market risk for options on stock's basket and describe their impact on selected instrument. The first part of the paper describes possible approaches for the capital requirement calculation, namely Standardized approach and Internal model approach, and the theoretical base for option pricing. An instrument with the embedded option on equities was chosen to show the impact. Although the instrument is valued using Monte Carlo simulation, one chapter is devoted to Black-Scholes model as the base model for option pricing. Powered by TCPDF (www.tcpdf.org)
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Models of interest rate and interest rate options valuation
Lendacký, Peter ; Málek, Jiří (advisor) ; Křížek, Tomáš (referee)
The interest rate dynamics is an important fundamental for valuation more complex structures of interest rate derivatives. The goal of this diploma thesis is to describe the use of models of interest rate for interest rate option pricing. The paper could be logically divided into two parts, the theoretical one and practical one. In the first part the essentials for pricing theory are introduced as risk neutrality, martingales, stochastic differential calculus, and theory of arbitrage. On their basis four basic yield curve models are derived, Vasicek model, model Cox-Ingersoll-Ross , Black-Derman-Toy and two factor Heath-Jarrow-Morton model. Second part provides the analysis of yields of U.S. Treasury bonds with different maturity. At the end CIR model and BDT binomial tree are used for valuation of option on 10 years yield.
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Vývoj českého a slovenského poistného trhu z pohľadu poisťovateľov
Lendacký, Peter ; Dědková, Eva (advisor)
Predmetom bakalárskej práce ?Vývoj českého a slovenského poistného trhu z pohľadu poisťovateľov? je analýza vývoja štruktúry poistného trhu z hľadiska poisťovateľov pred vstupom Českej republiky a Slovenskej republiky do Európskej únie a po ňom. Prvá časť práce stručne popisuje vývoj poisťovníctva a charakterizuje poistný trh. Druhá časť obsahuje pohľad na vývoj poisťovateľov na trhu od roku 1991 do roku 2005.
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