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
• Thesis type: 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
• Opponents: 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.