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master's thesis
Generalizacija Cox - Ross - Rubinsteinovog modela
2020. urn:nbn:hr:126:518024
Čavajda, Andrea
Josip Juraj Strossmayer University of Osijek
Department of Mathematics
Chair of Pure Mathematics
Probability and Mathematical Statistics Research Group

Cite this document

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

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

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

Čavajda, A. (2020). 'Generalizacija Cox - Ross - Rubinsteinovog modela', Master's thesis, Josip Juraj Strossmayer University of Osijek, Department of Mathematics, accessed 25 October 2020, https://urn.nsk.hr/urn:nbn:hr:126:518024

Čavajda A. Generalizacija Cox - Ross - Rubinsteinovog modela [Master's thesis]. Osijek: Josip Juraj Strossmayer University of Osijek, Department of Mathematics; 2020 [cited 2020 October 25] Available at: https://urn.nsk.hr/urn:nbn:hr:126:518024

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

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Metadata
TitleGeneralizacija Cox - Ross - Rubinsteinovog modela
Title (english)Generalized Cox - Ross - Rubinstein Model
AuthorAndrea Čavajda
MentorNenad Šuvak (mentor)
MentorIvan Papić (komentor)
Committee memberMirta Benšić (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 country2020, 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)
Languagecroatian
URN:NBNurn:nbn:hr:126:518024
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 useLicence In copyright icon
Created on2020-02-10 11:30:14