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master's thesis
Grci na financijskom tržištu
2020. urn:nbn:hr:126:090328
Šućur, Kristijan
Josip Juraj Strossmayer University of Osijek
Department of Mathematics
Chair of Pure Mathematics and Mathematics Teaching
Probability, Mathematical Statistics and Data Science Research Group

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Šućur, K. (2020). Grci na financijskom tržištu (Master's thesis). Osijek: Josip Juraj Strossmayer University of Osijek, Department of Mathematics. Retrieved from https://urn.nsk.hr/urn:nbn:hr:126:090328

Šućur, Kristijan. "Grci na financijskom tržištu." Master's thesis, Josip Juraj Strossmayer University of Osijek, Department of Mathematics, 2020. https://urn.nsk.hr/urn:nbn:hr:126:090328

Šućur, Kristijan. "Grci na financijskom tržištu." Master's thesis, Josip Juraj Strossmayer University of Osijek, Department of Mathematics, 2020. https://urn.nsk.hr/urn:nbn:hr:126:090328

Šućur, K. (2020). 'Grci na financijskom tržištu', Master's thesis, Josip Juraj Strossmayer University of Osijek, Department of Mathematics, accessed 05 December 2023, https://urn.nsk.hr/urn:nbn:hr:126:090328

Šućur K. Grci na financijskom tržištu [Master's thesis]. Osijek: Josip Juraj Strossmayer University of Osijek, Department of Mathematics; 2020 [cited 2023 December 05] Available at: https://urn.nsk.hr/urn:nbn:hr:126:090328

K. Šućur, "Grci na financijskom tržištu", Master's thesis, Josip Juraj Strossmayer University of Osijek, Department of Mathematics, Osijek, 2020. Available at: https://urn.nsk.hr/urn:nbn:hr:126:090328

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Metadata
TitleGrci na financijskom tržištu
Title (english)Greeks on Financial Market
AuthorKristijan Šućur
MentorNenad Šuvak (mentor)
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 and Mathematics Teaching)
(Probability, Mathematical Statistics and Data Science Research Group)
Osijek
Defense date and country2020-10-23, Croatia
Scientific / art field,
discipline and subdiscipline		NATURAL SCIENCES
Mathematics
Probability Theory and Statistics
Abstract
Na početku rada upoznali smo se s osnovnim pojmovima na financijskom tržištu. U nastavku rada definirali smo osnovne pojmove slučajnih procesa kao što su Brownovo gibanje i geometrijsko Brownovo gibanje te smo proučili njihova svojstva. Primjenom Itovog integrala pokazali smo da pomoću geometrijskog Brownovog gibanja možemo opisivati kretanje cijene dionice kao slučajnog procesa. Pomoću Black-Scholes-Merton formule odredivati ćemo nearbitražnu cijenu opcije. Glavni dio rada je objašnjavanje raznih parametara koje dobijemo raznim računima nad BSM formulom. Te parametre nazivamo ’Grci’.
Abstract (english)
At the beginning of this graduate thesis we introduce some basic terms in financial market. After that, we give fundamental definitions of random processes like Brownian motion and geometric Brownian motion. Basic properties of Brownian motion and geometric Brownian motion are also shown. By applying Ito’s integral we showed that geometric Brownian motion is suitable for modelling stock prices. With using Black-Scholes-Merton formula we can calculate non-arbitrage price of an option. Main part of this graduate thesis is explain different parameters which we obtain from BSM formula. This parameters are called ’Greeks’.
Keywords
Keywords (english)
Languagecroatian
URN:NBNurn:nbn:hr:126:090328
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 on2020-11-02 07:22:26