Simulační metody při hodnocení cenných papírů
| Thesis title in Czech: | Simulační metody při hodnocení cenných papírů |
|---|---|
| Thesis title in English: | Simulation methods for pricing securities |
| Academic year of topic announcement: | 2006/2007 |
| 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: | 08.11.2006 |
| Date of assignment: | 08.11.2006 |
| Date and time of defence: | 20.09.2007 00:00 |
| Date of electronic submission: | 31.05.2007 |
| Date of submission of printed version: | 31.05.2007 |
| Date of proceeded defence: | 20.09.2007 |
| Opponents: | RNDr. Jitka Zichová, Dr. |
| Guidelines |
| Student prostuduje příslušnou literaturu, vypracuje metodiku a vybrané metody bude ilustrovat na numerických příkladech. použije přitom systém Mathematica. |
| References |
| [1] Dupačová, J., Hurt, J., Štěpán, J.: Stochastic Modeling in Economics and Finance. Kluwer Academic Publishers. Dordrecht, 2002.
[2] Harry M. Markowitz: Portfolio selection: efficient diversification of investments. Blackwell Publishers. Cambridge, GB., 1991. [3] Harry M. Markowitz: Mean-variance analysis in portfolio choice and capital markets. Blackwell Publishers. Oxford, GB, 1990. [4] Blake, D.: Analýza finančních trhů. Grada. Praha, 1995. [5] Cipra, T.: Praktický průvodce finanční a pojistnou matematikou. Ekopress. Praha, 2005. [6] Cipra, T.: Matematika cenných papírů. HZ Praha. Praha, 2005. [7] Čámský, F.: Teorie portfolia. Masarykova universita, Ekonomicko-správní fakulta. Brno, 2001. [8] Sharpe W.F.: Capital Asset Prices: a theory of market equilibrium under conditions of risk. The Journal of Finance, 1964. [9] Fama, E.F.: Random walks in stock prices. Financial Analysts Journal, 1965. [10] Glasserman, P.: Monte Carlo Methods in Financial Engineering. Springer. New York, 2004. [11] Boyle, P. et al.: Monte Carlo Methods for Security Pricing. In:Option Pricing, Interest Rates and Risk Management. Jouni, E. et al., eds. Springer. New York, 2004. 185 - 238. |
| Preliminary scope of work |
| Monte Carlo a hodnocení cenných papírů |
| Preliminary scope of work in English |
| Monte Carlo and valuation of securities |