Generalizacija Cox - Ross - Rubinsteinovog modela

Čavajda, Andrea

master's thesis

Generalizacija Cox - Ross - Rubinsteinovog modela

Čavajda, Andrea (2020)

Josip Juraj Strossmayer University of Osijek
Department of Mathematics
Chair of Pure Mathematics
Probability and Mathematical Statistics Research Group

Cite this document

APA 6th Edition

Čavajda, A. (2020). Generalizacija Cox - Ross - Rubinsteinovog modela (Master's thesis). Retrieved from https://urn.nsk.hr/urn:nbn:hr:126:518024

MLA 8th Edition

Čavajda, Andrea. "Generalizacija Cox - Ross - Rubinsteinovog modela." Master's thesis, Josip Juraj Strossmayer University of Osijek, Department of Mathematics, 2020. https://urn.nsk.hr/urn:nbn:hr:126:518024

Chicago 17th Edition

Harvard

Čavajda, A. (2020). 'Generalizacija Cox - Ross - Rubinsteinovog modela', Master's thesis, Josip Juraj Strossmayer University of Osijek, Department of Mathematics, accessed 30 May 2020, https://urn.nsk.hr/urn:nbn:hr:126:518024

Vancouver

Čavajda A. Generalizacija Cox - Ross - Rubinsteinovog modela [Master's thesis]. Osijek: Josip Juraj Strossmayer University of Osijek, Department of Mathematics; 2020 [cited 2020 May 30] Available at: https://urn.nsk.hr/urn:nbn:hr:126:518024

IEEE

A. Čavajda, "Generalizacija Cox - Ross - Rubinsteinovog modela", Master's thesis, Josip Juraj Strossmayer University of Osijek, Department of Mathematics, Osijek, 2020. Available at: https://urn.nsk.hr/urn:nbn:hr:126:518024

Cite this item: https://urn.nsk.hr/urn:nbn:hr:126:518024

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Metadata

Title	Generalizacija Cox - Ross - Rubinsteinovog modela
Title (english)	Generalized Cox - Ross - Rubinstein Model
Author	Andrea Čavajda
Mentor	Nenad Šuvak (mentor)
Mentor	Ivan Papić (komentor)
Committee member	Mirta Benšić (predsjednik povjerenstva)
Committee member	Nenad Šuvak (član povjerenstva)
Committee member	Danijel Grahovac (član povjerenstva)
Granter	Josip Juraj Strossmayer University of Osijek Department of Mathematics (Chair of Pure Mathematics) (Probability and Mathematical Statistics Research Group) Osijek
Defense date and country	2020, Croatia
Scientific / art field, discipline and subdiscipline	NATURAL SCIENCES Mathematics Financial and Business Mathematics
Abstract	Na početku diplomskog rada predstavljeni su osnovni ekonomski i matematički pojmovi koji se koriste pri trgovanju na financijskom tržištu. Za početak, opisan je model financijskog tržišta u diskretnom vremenu. Zatim je objašnjeno kako se trguje u okvirima jednoperiodnog binarnog modela koji će nam poslužiti kao temelj za modele predstavljene u nastavku. Pokazano je i pri kojim uvjetima jednoperiodni model financijskog tržišta ne dopušta arbitražu. Zatim, predstavljen je Cox-Ross-Rubinsteinov model i objašnjeno je kako su cijene u okvirima tog modela povezane s cijenama na financijskom tržištu u neprekidnom vremenu. U posljednjem poglavlju predstavljene su tri generalizacije Cox-Ross-Rubinsteinovog modela.
Abstract (english)	This diploma thesis introduces basic economic and mathematical concepts used when trading at financial market. In the first part, discrete time financial market model is described. Then, it is explained how to trade within the framework of the one-period binary model that will serve as a basis for the models described in what follows. Moreover, conditions under which the one-period financial market model does not allow arbitrage are described. Next, CoxRoss-Rubinstein model is presented and it is explained how the prices within the model are linked to the prices on the financial market in a continuous time. The last chapter presents three generalizations of the Cox-Ross-Rubinstein model.
Keywords
Keywords (english)
Language	croatian
URN:NBN	urn:nbn:hr:126:518024
Study programme	Title: 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 resource	Text
File origin	Born digital
Access conditions	Open access
Terms of use
Created on	2020-02-10 11:30:14