Předmět Security Analysis and Derivatives (MPF_ASAN)

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Materiál	Typ	Datum	Počet stažení

Cíl

The aim of this course is to introduce students to security analysis and valuation from both theoretical and empirical perspectives. Students are furthermore provided with an opportunity to apply their skills by valuing. The course should appeal to students interested in investment analysis and fund management.The course is presented in three parts. The first part, Quantitative Methods, focuses on past and present performance evaluation, which is used by financial analysts to generate expectations about future performance (prospective analysis). The second part, Equity Valuation, focuses on the determination of intrinsic security prices. The third part, Derivatives, provides knowledge about valuation and pricing techniques. The problem of Behavioral Finance is mentioned at the end of this course.

Osnova

Lectures:1. Interest Rate Interpretation2. Quantitative Methods in Finance – Statistical Concept and Market Return3. Quantitative Methods in Finance – Correlation and Regression, Multiple Regression and Issues in Regression Analysis4. Equity Valuation – Return Concept5. Equity Valuation – Discounted Dividend Valuation and Free Cash Flow Valuation6. Equity Valuation – Residual Income Valuation7. Equity Valuation – Market Based Valuation Price and Enterprise Value Multiples8. Equity Valuation – Private Company Valuation9. Derivatives – Basic of Derivative Pricing and Valuation10. Derivatives – Pricing and Valuation of Forwards and Futures11. Derivatives - Pricing and Valuation of Options12. Behavioral Finance13. Summary of Valuation Techniques and StandardsSeminars:1. Interest Rate Interpretation2. Quantitative Methods in Finance – Statistical Concept and Market Return3. Quantitative Methods in Finance – Correlation and Regression, Multiple Regression and Issues in Regression Analysis4. Test no 15. Equity Valuation – Return Concept6. Equity Valuation – Discounted Dividend Valuation and Free Cash Flow Valuation7. Equity Valuation – Residual Income Valuation8. Equity Valuation – Market Based Valuation Price and Enterprise Value Multiples9. Test no 210. Derivatives – Pricing and Valuation of Forwards and Futures11. Derivatives - Pricing and Valuation of Options12. Test no 313. Final seminar

Literatura

povinná literaturaREILLY, Frank K. a Keith C. BROWN. Analysis of investments & management of portfolios. 10th ed. Australia: South-Western Cengage Learning, 2012. xxvi, 1066. ISBN 9780538482486. infodoporučená literaturaDAMODARAN, Aswath. Investment philosophies :successful strategies and the investors who made them work. Hoboken: John Wiley & Sons, 2003. viii, 504. ISBN 0-471-34503-2. infoHULL, John. Options, futures & other derivatives. 5th ed. Upper Saddle River: Prentice Hall, 2003. xxi, 744 s. ISBN 0-13-009056-5. infoDAMODARAN, Aswath. Investment valuation :tools and techniques for determining the value of any asset. 2nd ed. New York: John Wiley & Sons, 2002. xvi, 992 s. ISBN 0-471-41490-5. infoDAMODARAN, Aswath. Damodaran on valuation :security analysis for investment and corporate finance. New York: John Wiley & Sons, 1994. xi, 426 s. ISBN 0-471-30465-4. infoGRAHAM, Benjamin a David L. DODD. Security analysis :principles and technique. 2nd ed. New York: McGraw-Hill Book Company, 1940. xiii, 851. ISBN 0-07-141228-X. info

Požadavky

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Garant

Ing. Dagmar Linnertová, Ph.D.

Vyučující

Ing. Dagmar Linnertová, Ph.D.Ing. Dagmar Linnertová, Ph.D.