Posouzení hedgingové strategie pomocí simulace Monte Carlo

Abstract

The aim of the thesis is to evaluate appropriate hedging strategies using Monte Carlo simulation. Teoretical part is focused on the description of statistical estimation of return's probability distribution, Monte Carlo simulation and last but not least there are characterised financial derivatives, risk and hedging against risk possibilities. In practical part there are two optimal stock portfolios built, each in a different currency. These portfolios are hedged agaist the currency risk using chosen methods of hedging. At the end of the work there are compared each hedging portfolios according to chosen parametres and investor requests.