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master's thesis
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Copulas
Anja Stojčević (2019)
Josip Juraj Strossmayer University of Osijek
Department of Mathematics
Chair of Pure Mathematics
Probability and Mathematical Statistics Research Group
Cite this document

Stojčević, A. (2019). Kopule (Master's thesis). Retrieved from https://urn.nsk.hr/urn:nbn:hr:126:477673

Stojčević, Anja. "Kopule." Master's thesis, Josip Juraj Strossmayer University of Osijek, Department of Mathematics, 2019. https://urn.nsk.hr/urn:nbn:hr:126:477673

Stojčević, Anja. "Kopule." Master's thesis, Josip Juraj Strossmayer University of Osijek, Department of Mathematics, 2019. https://urn.nsk.hr/urn:nbn:hr:126:477673

Stojčević, A. (2019). 'Kopule', Master's thesis, Josip Juraj Strossmayer University of Osijek, Department of Mathematics, accessed 15 November 2019, https://urn.nsk.hr/urn:nbn:hr:126:477673

Stojčević A. Kopule [Master's thesis]. Osijek: Josip Juraj Strossmayer University of Osijek, Department of Mathematics; 2019 [cited 2019 November 15] Available at: https://urn.nsk.hr/urn:nbn:hr:126:477673

A. Stojčević, "Kopule", Master's thesis, Josip Juraj Strossmayer University of Osijek, Department of Mathematics, Osijek, 2019. Available at: https://urn.nsk.hr/urn:nbn:hr:126:477673

Metadata
TitleKopule
Title (english)Copulas
AuthorAnja Stojčević
MentorNenad Šuvak (mentor)
Committee memberDragana Jankov Maširević (predsjednik povjerenstva)
Committee memberNenad Šuvak (član povjerenstva)
Committee memberDanijel Grahovac (član povjerenstva)
GranterJosip Juraj Strossmayer University of Osijek
Department of Mathematics
(Chair of Pure Mathematics)
(Probability and Mathematical Statistics Research Group)
Osijek
Defense date and country2019-07-12, Croatia
Scientific / art field,
discipline and subdiscipline		NATURAL SCIENCES
Mathematics
Probability Theory and Statistics
Abstract
U ovom radu smo definirali pojam kopula i kroz primjere predstavili svojstva i vrste kopula. Pokazano je kako se kopule koriste za računanje zavisnosti izmedu varijabli. Navedene su i objašnjene su primjene kopula, odnosno kakvu ulogu kopule imaju u upravljanju rizikom, optimizaciji portfelja i vrednovanju financijskih derivata. Vidjeli smo i koje su prednosti njihovog korištenja te koje opasnosti donosi preveliko oslanjanje na njih.
Abstract (english)
In this thesis we have defined copulas and, through examples, presented their properties and types. We have shown how copulas are used to calculate dependence between variables. Applications of copulas are explained, including their role in risk management, portfolio optimization and derivatives pricing. We have seen what their benefits are as well as what potential dangers overreliance on them can bring.
Keywords
Keywords (english)
Languagecroatian
URN:NBNurn:nbn:hr:126:477673
Study programmeTitle: Mathematics; specializations in: Financial and Statistical Mathematics, Mathematics and Computer Science, Industrial and Applied Mathematics
Course: Financial and Statistical Mathematics
Study programme type: university
Study level: graduate
Academic / professional title: magistar/magistra matematike (magistar/magistra matematike)
Type of resourceText
File originBorn digital
Access conditionsOpen access
Terms of usehttp://rightsstatements.org/vocab/InC/1.0/
Created on2019-07-16 09:29:14