Stochasticke modely ocenovani nestandardnich derivatou na financnich trzich
| advisor: | RNDr. Alexis DERVIZ, CSc. |
| e-mail: | show e-mail |
| type: | bachelor thesis, master thesis |
| branch of study: | MI_MM, II_SIMI |
| key words: | stochasticka diferencialni rovnice, derivat, arbitraz |
| description: | Jedna se o zobecneni klasickych bezarbitraznich modelu ocenovani opci od Blacka, Scholese a Mertona, na pripady opci na menestandardni financni instrumenty, predevsim swapy a poce na strukturovane dluhove kontrakty. Metody reseni zahrnuji pouziti Itova poctu pro difuzni nahodne procesy stejne jako alternativni modely stochastickych procesu v diskretnim case, predevsim tridy GARCH. Vysledkem by mely byt testovatelne modely aplikovatelne mimo jine na instrumenty dostupne bud na ceskem anebo na evropskem financnim trhu. |
| references: | 1. Merton, R.C. (1990) Continuous-Time Finance. MIT Press. 2. Duffie. D. (1992) Dynamic Asset Pricing Theory. Princeton University Press. 3. Karatzas, I., and S. Shreve (1990) Brownian Motion and Stochastic Calculus, Springer-Verlag. |
| note: | Alternativní e-mail: aderviz@utia.cas.cz |
| last update: | 20.11.2017 22:13:06 |
administrator for this page:
Ľubomíra Dvořáková | last update: 09/12/2011