Thesis (Selection of subject)Thesis (Selection of subject)(version: 336)
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Zobecněný stabilní model ve financích
Thesis title in Czech: Zobecněný stabilní model ve financích
Thesis title in English: Generalized Stable Models in Finance
Academic year of topic announcement: 2004/2005
Type of assignment: diploma thesis
Thesis language: čeština
Department: Department of Probability and Mathematical Statistics (32-KPMS)
Supervisor: prof. Lev Klebanov, DrSc.
Author: hidden - assigned and confirmed by the Study Dept.
Date of registration: 28.06.2005
Date of assignment: 28.06.2005
Date and time of defence: 17.09.2007 00:00
Date of electronic submission:17.09.2007
Date of proceeded defence: 17.09.2007
Reviewers: prof. RNDr. Josef Štěpán, DrSc.
 
 
 
Guidelines

Student nastuduje literaturu o stabilních modelech a provede počítačovou simulací modelu. Plánované aktivity spočívají ve vyhodnocení statistických
odhadů parametrů modelu.

References

Rachev S.T., Mittnik S. Stable Paretian Models in Finance, Wiley, 2000.

Klebanov L.B., Maniya G.M., Melamed I.A. A problem of Zolotarev and analogs of infinite divisible and stable distributions in a scheme for summing a random number of random variables, Theory Probab. Appl., 29, 791-794.

Klebanov L.B., Rachev S.T., Safarian M. Local prelimit theorems and their applications to finance, Applied Mathematics Letters, 13, 5, 2000, 73-78.
 
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