Simulační modely úrokových měr
| Thesis title in Czech: | Simulační modely úrokových měr |
|---|---|
| Thesis title in English: | Simulation Models of Interest Rates |
| Academic year of topic announcement: | 2005/2006 |
| Thesis type: | Bachelor's thesis |
| Thesis language: | čeština |
| Department: | Department of Probability and Mathematical Statistics (32-KPMS) |
| Supervisor: | doc. RNDr. Jan Hurt, CSc. |
| Author: | hidden - assigned and confirmed by the Study Dept. |
| Date of registration: | 14.11.2005 |
| Date of assignment: | 14.11.2005 |
| Date and time of defence: | 28.06.2006 00:00 |
| Date of electronic submission: | 28.06.2006 |
| Date of submission of printed version: | 28.06.2006 |
| Date of proceeded defence: | 28.06.2006 |
| Opponents: | RNDr. Jitka Zichová, Dr. |
| Guidelines |
| Bude pojednáno o metodách optimalizace ve financích, zejména pak se zaměřením na optimální portfólio a modely úrokových měr. Přitom bude použito některého ze systémů CAS (Computer Algebra Systém). |
| References |
| [1] Dupačová, J., Hurt, J., Štěpán, J.: Stochastic Modeling in Economics and Finance. Kluwer Academic Publishers. Dordrecht 2002.
[2] Hull, J.C.: Options, Futures, and other Derivative Securities. 4th ed., Prentice-Hall. Upper Saddle River 2000. [3] Shaw, W.: Modeling Financial Derivatives with Mathematica. Cambridge University Press. Cambridge 1998. [4] Morgan, J. P., Reuters: RiskMetrics – Technical Document. 4th ed., Morgan Guaranty Trust Company. New York 1996. [5] Hurt, J.: Simulační metody. Skripta SPN. Praha 1982. [6] Fuchs, K.: Hodnocení portfolia opcí. Diplomová práce. UK MFF Praha 2003. [7] Luenberger, D. G.: Investment Science. Oxford University Press. New York 1998. [8] Haerdle, W., Kleinow, T., Stahl, G.: Applied Quantitative Finance. Springer. Berlin 2002. [9] Seydel, R.: Tools for Computational Finance. Springer. Berlin 2002. [10] Gamerman, D.: Markov Chain Monte Carlo. Chapman & Hall. London 1997. [11] Credit Suisse Financial Products. Credit Risk+. Credit Suisse First Boston. www.csfb.com/creditrisk. 1997. [12] Bluhm, C. et al.: Credit Risk Modeling. Chapman & Hall/CRC. Boca Raton, 2003. [13] Schoenbucher, P. J.: Credit Derivatives Pricing Models. Wiley. Chichester, 2003. [14] Cipra, T.: Praktický průvodce finanční a pojistnou matematikou. Ekopress. Praha, 2005. [16] Wilmott, P.: Introduces Quantitative Finance. Wiley. Chichester, 2001. [15] Cipra, T.: Kapitálová přiměřenost ve financích a solventnost v pojišťovnictví. Ekopress. Praha, 2002. [16] Hurt, J.: Stochastic Modelling of Pension Funds. Z. angew. Math. Mech. Vol. 77 Supplement 2, 1997, 577-8. |
| Preliminary scope of work |
| metody optimalizace ve financích |