Metody Monte Carlo ve financích
| Thesis title in Czech: | Metody Monte Carlo ve financích |
|---|---|
| Thesis title in English: | Monte Carlo methods in finance |
| Key words: | Monte Carlo, finance, redukce, rozptyl |
| English key words: | Monte Carlo, finance, reduction, variance |
| 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: | 07.10.2014 |
| Date of assignment: | 14.10.2014 |
| Confirmed by Study dept. on: | 25.11.2014 |
| Date and time of defence: | 08.09.2015 00:00 |
| Date of electronic submission: | 30.07.2015 |
| Date of submission of printed version: | 31.07.2015 |
| Date of proceeded defence: | 08.09.2015 |
| Opponents: | doc. RNDr. Ing. Miloš Kopa, Ph.D. |
| Guidelines |
| Cílem práce je pojednat o simulačních metodách redukujících rozptyl, střední čtvercovou odchylku a případně jiné míry kvality odhadů metodou Monte Carlo. Tyto metody pak bude posluchač aplikovat na oceňování aktiv, jejichž hodnotu není jednoduché vyjádřit analyticky nebo klasickými numerickými metodami. |
| References |
| [1] Glasserman, P.: Monte Carlo Methods in Financial Engineering. Springer. New York 2004.
[2] Hurt, J.: Simulační metody. Skripta SPN. Praha 1982. [3] Hull, J.C.: Options, Futures, and other Derivative Securities. 4th ed., Prentice-Hall. Upper Saddle Rive 2000. [4] Seydel, R.: Tools for Computational Finance. Springer. Berlin 2002. [5] Kubetta, A.: Simulace ve financích. Bakalářská práce MFF UK. Praha 2009. [6] Korn, R., Korn, E., Kroisandt, G.: Monte Carlo Methods and Models in Finance and Insurance. CRC Press. Boca Raton 2010. |
| Preliminary scope of work |
| Hodnocení finančních aktiv pomocí metod Monte Carlo |
| Preliminary scope of work in English |
| Pricing of financial assets by Monte Carlo |