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The Evaluation of the Investment Project
Koštur, Petr ; Poláček, Tomáš (referee) ; Luňáček, Jiří (advisor)
This master’s thesis deals with a comprehensive evaluation of the company's investment related to the purchase of construction machinery. All calculations are performed according to the theoretical basis introduced in the beginning. To evaluate the effectiveness of the investment, static and dynamic methods are used, together with the sensitivity analysis of individual risk factors. The probability of possible scenarios is determined using a Monte Carlo simulation. To conclude, recommendations whether the project should be implemented is given.
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Coulomb Interactions in Electron Beams in the Vicinity of a Schottky and Cold Field Emission Sources
Liška, Ivo ; Kotačka, Libor (referee) ; Radlička, Tomáš (referee) ; Lencová, Bohumila (advisor)
Dizertační práce se zabývá problematikou výpočtu vlivu coulombovských interakcí částic na parametry emitovaného elektronového svazku v blízkosti Schottkyho a studené katody. Práce poskytuje základní předhled o problematice, popisuje vytvořené modely emisních zdrojů a metodu simulace Monte Carlo. Představuje novou metodu generování vstupních dat, která klade větší důraz na přesnou simulaci emisního procesu. Pozornost je zde věnována zejména vlivu interakcí na energiovou šířku, velikost virtuálního zdroje a jas katody v závislosti na velikosti poloměru hrotu a emisním proudu. Sledováním vývoje energiové šířky bylo zjištěno, že naprostá většina interakcí se odehrává v prostoru do několika mikrometrů od hrotu katody. Závislost spočtené celkové energiové šířky na úhlové intenzitě je ve shodě s dostupnými experimentálními daty. Spočtené energiové rozšíření vlivem coulombovských interakcí bylo srovnáno s hodnotami vypočtenými pomocí vzorců založených na analytických přiblíženích. Bylo zjištěno, že některé z nich přijatelně předpovídají trendy ale nemohou být použity pro kvantitativní odhad.
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Analysis of Economic Risk of Investment Project
Malý, Lukáš ; Holá, Michaela (referee) ; Hromádka, Vít (advisor)
This thesis focuses on considering of the investor economic risk during the preparation of the investment project including the financial plan, its evaluation and suggestions of proposals for risk reduction. Correct decisions on implementation or rejection of the project are based on the realistic financial plan. However, expenses and revenues are only implied and are burdened with some variability that leads to the risk of failure to achieve the planned values. To assess the acceptability of certain risks for the investor, an analysis of risk factors was conducted. The factors are first identified for their significance and potential negative impact, then the most risk factors are evaluated and determined whether it is necessary to further tracking or the risk to the investor is acceptable.
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Efficiency and risk assessment of investment projects
Mudrych, Marek ; Všetečka, Jan (referee) ; Hromádka, Vít (advisor)
This diploma thesis deals with the efficiency and risk assessment of investment projects. The thesis is conceived in two parts, the theoretical part, which deals with the theoretical understanding of the issue, and the practical part, which applies the findings to a case study. This case study includes a comprehensive risk analysis and economic efficiency assessment. To achieve the objectives, the thesis uses methods such as Monte Carlo simulation and risk matrix to quantify the risk factors. Attention is also given to economic efficiency indicators such as net present value, internal rate of return and return on investment. The thesis also includes the calculation of switching values of critical risk factors, which provides further understanding and insight in project risk management.
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An application of computing methods to maximize the performance of money management systems
Michalko, Miroslav ; Chovanec, Patrik (referee) ; Škapa, Stanislav (advisor)
This bachelor work is concerned with the development of Windows application for stock and futures traders that is designed to help maximize the performance of trading systems and discretionary trading methods. The application is suggested primarily for individual traders but can be used by small businesses as well as general public. With the application investor will be able to gain confidence in his trading by identifying the unique strengths and weaknesses of trading system or method and adapting his trading accordingly. The result is a higher percentage of winning trades, lower drawdown, more consistent returns and greater profitability.
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Pricing Options Using Monte Carlo Simulation
Dutton, Ryan ; Dědek, Oldřich (advisor) ; Červinka, Michal (referee)
Monte Carlo simulation is a valuable tool in computational finance. It is widely used to evaluate portfolio management rules, to price derivatives, to simulate hedging strategies, and to estimate Value at Risk. The purpose of this thesis is to develop the mathematical foundation and an algorithmic structure to carry out Monte Carlo simulation to price a European call option, investigate Black-Scholes model to look into the parallel between Monte Carlo simulation and Black-Scholes model, provide a solution for Black-Scholes model using Lognormal distribution of a stock price rather than solving Black-Scholes original partial differential equation, and finally compare the results of Monte Carlo simulation with Black- Scholes closed-form formula. Author's contribution can be best described as developing the mathematical foundation and the algorithm for Monte Carlo simulation, comparing the simulation results with the Black-Scholes model, and investigating how path-dependent options can be implemented using simulation when closed-form formulas may not be available. JEL Classification C02, C6, G12, G17 Keywords Monte Carlo simulation, Option pricing, Black-Scholes model Author's e-mail ryandutton4@gmail.com Supervisor's e-mail oldrich.dedek@fsv.cuni.cz
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Diffuse x-ray scattering from GaN epitaxial layers
Barchuk, Mykhailo ; Holý, Václav (advisor) ; Caha, Ondřej (referee) ; Pietsch, Ulrich (referee)
Real structure of heteroepitaxial GaN and AlGaN layers is studied by diffuse x-ray scattering. A new developed method based on Monte Carlo simulation enabling to determine densities of threading dislocations in c-plane GaN and stacking faults in a-plane GaN is presented. The results of Monte Carlo simulations are compared with ones obtained by use of other conventional techniques. The advantages and limitations of the new method are discussed in detail. The methods accuracy is estimated as about 15%. We have shown that our method is a reliable tool for threading dislocations and stacking faults densities determination.
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Sequential Monte Carlo Methods
Sobková, Eva ; Zikmundová, Markéta (advisor) ; Prokešová, Michaela (referee)
Monte Carlo methods are used for stochastic systems simulations. Sequential Monte Carlo methods take advantage of the fact that observations are coming sequentially. This allows us to refine our estimate sequentially in time We introduce a State Space Model as a Hidden Markov Model. We describe Perfect Monte Carlo Sampling, Importance Sampling, Sequential Importance Sampling and discuss advantages and disadvantages of these methods. This discussion brings us to add a resampling step in Sequential Importance Sampling and introduce Particle Filter and Particle Marginal Metropolis-Hastings algorithm. We choose a Hidden Markov Model used for stochastic volatility modeling and make a simulation study in Wolfram Mathematica, version 8.
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