Hodnocení amerických opcí

• Thesis title in Czech: Hodnocení amerických opcí
• Thesis title in English: Valuation of American options
• Academic year of topic announcement: 2007/2008
• Thesis type: diploma 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: 01.11.2007
• Date of assignment: 01.11.2007
• Date and time of defence: 22.09.2009 00:00
• Date of electronic submission: 22.09.2009
• Date of proceeded defence: 22.09.2009
• Opponents: RNDr. Jitka Zichová, Dr.

Guidelines

Diplomant se nejprve zaměří na teorii a poté se bude zabývat hodnocením amerických případně některých exotických opcí. Použije přitom binomické modely, numerické metody konečných diferencí a metody konečných prvků. Čerpat bude zejména z pramenů [2] , [3] , [9] , [26] , [27]. Na závěr práce uvede ilustrace a numerické výpočty.

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 Rive 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] Glasserman, P.: Monte Carlo Methods in Financial Engineering. Springer. New York 2004.
[15] 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.
[16] Varian, H. R. (ed.): Computational Economics and Finance. Modeling and Analysis with Mathematica. Springer-TELOS. New York 1996.
[17] Pflug, G. Ch.: Some remarks on the Value-at-Risk and the conditional Value-at-Risk. To appear.
[18] Krokhmal, P. et al. (eds.): Risk Management and Optimization in Finance. Special Issue. J. of Banking & Finance 30, February 2006.
[19] Wolfram, S.: The Mathematica Book. 5th ed. Wolfram Media. Champaign (IL) 2003.
[20] Víšková H.: Technická analýza akcií. HZ. Praha 1997.
[21] Sears, R. S., Trennepohl, G. L.: Investment Management. The Dryden Press. Forth Worth 1993.
[22] Haerdle, W., Hlávka, Z.: Multivariate Statistics: Exercises and Solutions. Springer. Berlin 2007.
[23] Hurt, J.: Mnohorozměrná statistická analýza. Přednáška UK MFF. Praha ZS 2007/2008.
[24] Hurt, J.: Stochastic Modelling of Pension Funds. ZAMM 77 (1997) Suppl. 2. S385-S700.
[25] Cipra, T.: Penzijní pojištění a jeho výpočetní aspekty. HZ. Praha 1996.
[26] Jaekel, U.: Pricing of American style options with an adjoint process correction method. Physica A 352 (2005). 584-600.
[27] García, D.: Convergence and Biases of Monte Carlo estimates of American option prices using a parametric exercise rule. J. of Economic Dynamics & Control 27 (2003). 1855-1879.

Preliminary scope of work

Teoretický a numerický přístup k hodnocení opcí.

Preliminary scope of work in English

Theoretical and numerical approach to options valuation