Rozdělení s tjažki chvosty a finanční aplikace
| Thesis title in Czech: | Rozdělení s tjažki chvosty a finanční aplikace |
|---|---|
| Thesis title in English: | Heavy tailed distributions and their applications to finance |
| Key words: | Těžké chvosty, stabilní rozdělení, geometricky stabilní, náhodné součty, náhodné součiny |
| English key words: | Heavy tailes, stable cistribution, geometric stable, random summation, random multiplication |
| Academic year of topic announcement: | 2013/2014 |
| Thesis type: | Bachelor's 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: | 02.10.2013 |
| Date of assignment: | 02.10.2013 |
| Confirmed by Study dept. on: | 25.11.2013 |
| Date and time of defence: | 10.09.2014 00:00 |
| Date of electronic submission: | 30.07.2014 |
| Date of submission of printed version: | 31.07.2014 |
| Date of proceeded defence: | 10.09.2014 |
| Opponents: | RNDr. Josef Janák, Ph.D. |
| Guidelines |
| Posluchač nastuduje literaturu o rozděleních s těžkými chvosty a jejich finančních aplikacích
a shrne získané poznatky. |
| References |
| G. Samorodnitsky, M.S. Taggu: Stable Non-Gaussian Random Processes.
Chapmann & Hall, New York, 1994. L. Klebanov: Heavy Tailed Distributions. MFF UK, Praha, 2003. |