Mgr. Michaela Vlasáková-Baruníková (Hlínková)

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Position: Ph.D. Candidate
Membership: Doctoral students - temporarily interrupted study, Finance and Capital Markets, PhD Candidates

Contact

Office:
Email: babenababena [AT] gmail [DOT] com
Phone:

More information

PhD study

Tutor: RNDr. Jiří Witzany Ph.D.

Studying from: 2008
PhDr examination:
Final exam:
Dissertation Proposal defence:
Dissertation defence:

Current work:

Dissertation topic:
Option pricing: Testing option pricing models and their implications on the risk management.

Disertation abstract:
Option pricing theory has undergone rapid evolution since the seminal paper of Black, Scholes and Merton in 1973. However, there are still unresolved crucial questions regarding the underlying theory. Is the risk neutral probabilistic consistent with the observed conditional distribution estimated ? (e.g. Chernov, Ghysels 2000). Should parameters within the parametric models be estimated from the time series of the underlying price or from the cross-sectional option price data? Can data driven models (e.g. neural networks) perform better than correctly specified parametric models and numerical methods? (e.g. Hutchinson et al. 1994).

The aim of the research is to empirically compare performance of some of the recent option pricing approaches in order to answer the above mentioned questions amongst others. The author moreover expects to find out whether the use of the best performing models will have significant implications on the practical use of option pricing – e.g. risk management.

Optional courses:

CV

Education

2008+ PhD candidate
2008 Mgr. (MA equivalent) in economic theory IES FSV UK
2005 Bc. (BA equivalent) in economic theory IES FSV UK

Job history

2008 + lectures in Microeconomics II
2008 - 2009 lectures in Public Finance A

Topics for supervision

Master theses

Pricing of offer period options for consumer loans.
- offer period option is an option to fix the individual loan interest rate before signature
- often consumer pays for the option only when the contract is signed
- how to price the option so that bank
mitigates its interest rate risk, w.r.t. identification of the process for the market interest rates

Early termination of deposits.
- early termination of deposits causes financial institutions to face interest rates and hedging risk
- how to mitigate these risks - how to embed the price of the risk in the deposit price

Ocenění opce za nabídkovou periodupro spotřebitelské úvěry.
- opce za nabídkovou periodu je jednostranná opce pro spotřebitele, kdy banka mu zafixuje cenu za úvěr již stanovené období před podpisem
- spotřebitel za opci platí pouze v případě, že podepíše kontrakt
- jakým způsobem ocenit opci tak, aby banka snížila riziko z pohybu úrokových mír?

Předčasný výběr depozit
- předčasný výběr depozit vystavuje banku riziku z pohybu tržních úrokových mír a zajištění
- jakým způsobem ocenit tyto rizika a zahrnout je do ceny depozita pro klienta?

Valuation of long term options in energetic sector.

Oceňování dlouhodobých opcí v energetickém sektoru.

Downloadable

ISP update 2009
ISP update 2010
Statistics Problem Set 09112010
Web references to Micro problem sets

Partners

Deloitte
McKinsey & Company
Moneta Money Bank

Sponsors

CRIF
ČSOB