Oceňování finančních derivátů

• Thesis title in Czech: Oceňování finančních derivátů
• Thesis title in English: Pricing of Financial Derivatives
• Academic year of topic announcement: 2014/2015
• 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: 01.10.2014
• Date of assignment: 03.10.2014
• Confirmed by Study dept. on: 25.11.2014
• Date and time of defence: 08.09.2016 00:00
• Date of electronic submission: 28.07.2016
• Date of submission of printed version: 28.07.2016
• Date of proceeded defence: 08.09.2016
• Opponents: Mgr. Petr Dostál, Ph.D.

Guidelines

Řešitel pojedná o modelech vhodných pro oceňování finančních derivátů, zvláště pak opcí a futures. Prostuduje metody odhadu a bude je aplikovat na reálná data.

References

[1] Dupačová, J., Hurt, J., Štěpán, J.: Stochastic Modeling in Economics and Finance. Kluwer Academic Publishers. Dordrecht 2002.
[2] Davidson, J., Hashimzade, N.: Type I and type II fractional Brownian motions: A reconsideration. Computational Statistics and Data Analysis 53 (2009). 2089-2106.
[3] Korn, R., Korn, E., Kroisandt, G.: Monte Carlo Methods and Models in Finance and Insurance. CRC Press. Boca Raton 2010.
[4] Cipra, T.: Financial and Insurance Formulas. Springer-Verlag. Berlin 2010.
[5] Cipra, T.: Finanční ekonometrie. Ekopress, Praha 2008.
[6] McNeil, A. J., Frey, R., Embrechts, P.: Quantitative Risk Management. Princeton University Press. Princeton 2005.
[7] Hull, J.C.: Options, Futures, and other Derivative Securities. 4th ed., Prentice-Hall. Upper Saddle Rive 2000.
[8] Luenberger, D. G.: Investment Science. Oxford University Press. New York 1998.
[9] Glasserman, P.: Monte Carlo Methods in Financial Engineering. Springer. New York 2004.
[10] Hurt, J.: Risk measures in finance. In: 2008 International Mathematica User Conference. http://library.wolfram.com/infocenter/Conferences/7230/. Champaign (IL) 2008
[11] Hurt, J.: Risk measures in finance revisited. In: Wolfram Technology Conference 2010. http://www.wolfram.com/events/techconf2010/presentations/JanHurt.zip/. Champaign (IL) 2010.