Potpunost modela financijskog tržišta u diskretnom vremenu

Varga, Marija

master's thesis

Potpunost modela financijskog tržišta u diskretnom vremenu

Varga, Marija (2016)

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

Varga, M. (2016). Potpunost modela financijskog tržišta u diskretnom vremenu (Master's thesis). Retrieved from https://urn.nsk.hr/urn:nbn:hr:126:164980

MLA 8th Edition

Varga, Marija. "Potpunost modela financijskog tržišta u diskretnom vremenu." Master's thesis, Josip Juraj Strossmayer University of Osijek, Department of Mathematics, 2016. https://urn.nsk.hr/urn:nbn:hr:126:164980

Chicago 17th Edition

Harvard

Varga, M. (2016). 'Potpunost modela financijskog tržišta u diskretnom vremenu', Master's thesis, Josip Juraj Strossmayer University of Osijek, Department of Mathematics, accessed 04 August 2020, https://urn.nsk.hr/urn:nbn:hr:126:164980

Vancouver

Varga M. Potpunost modela financijskog tržišta u diskretnom vremenu [Master's thesis]. Osijek: Josip Juraj Strossmayer University of Osijek, Department of Mathematics; 2016 [cited 2020 August 04] Available at: https://urn.nsk.hr/urn:nbn:hr:126:164980

IEEE

M. Varga, "Potpunost modela financijskog tržišta u diskretnom vremenu", Master's thesis, Josip Juraj Strossmayer University of Osijek, Department of Mathematics, Osijek, 2016. Available at: https://urn.nsk.hr/urn:nbn:hr:126:164980

Cite this item: https://urn.nsk.hr/urn:nbn:hr:126:164980

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Metadata

Title	Potpunost modela financijskog tržišta u diskretnom vremenu
Title (english)	Completeness of Financial Market Discrete Time Models
Author	Marija Varga
Mentor	Nenad Šuvak (mentor)
Committee member	Darija Marković (predsjednik povjerenstva)
Committee member	Nenad Šuvak (član povjerenstva)
Committee member	Dragana Jankov Maširević (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	2016-10-21, Croatia
Scientific / art field, discipline and subdiscipline	NATURAL SCIENCES Mathematics Applied Mathematics and Mathematical Modeling
Abstract	U ovom diplomskom radu cilj nam je bio analizirati potpunost modela financijskog tržišta u diskretnom vremenu. Kako bismo uopće mogli definirati potpunost matematičkog modela financijskog tržišta u diskretnom vremenu, prvo smo opisati financijsko tržište u diskretnom vremenu, financijske instrumente (osnovne i izvedene) kojima se trguje na financijskom trži- štu, te njihove cijene i povrate. Pritom smo od važnijih pojmova definirali pojmove kao što su portfelj, europska call i put opcija, samofinancirajuća i dopustiva strategija trgovanja, vjerojatnost neutralna na rizik, te arbitraža i martingal. Zatim smo opisali neke jednoperiodne i višeperiodne modele u diskretnom vremenu, koji koriste dva financijska instrumenta, od kojih je jedan nerizičan (novac u domaćoj valuti), a drugi rizičan (dionica). Nakon toga definirali smo slučajni zahtjev, te što treba biti zadovoljeno da bi taj slučajni zhatjev bio dostižan. Na temelju dobivenih rezultata definirali smo potpun model financijskog tržišta u diskretnom vremenu kao model tržišta bez arbitraže na kojemu je svaki slučajni zahtjev dostižan. Za svaki opisani model iznijeli smo neke zahtjeve koje ti modeli trebaju ispunjavati da bi bili potpuni.
Abstract (english)	This thesis aim was to analyse the completeness of financial market discrete time models. In order to even be able to define the completeness of financial market discrete time models, we first described the financial market in discrete time, financial instruments (basic and derived) that are traded on financial markets, and its prices and returns. In doing so, we of the important terms defined terms such as the portfolio, a European call and put options, self-financing and admissible trading strategy, the risk-neutral measure, arbitrage and martingale. Then we described some one-period and multi-period models in discrete time, using two financial instruments, one of which is risk free (money in local currency), and the other risk (stocks). Then we defined a contingent claim, and what needs to be satisfied that this contingent claim was admissible. Based on the obtained results, we have defined a complete model of the fi- nancial market in discrete time as a model market without arbitrage in which each contingent claim is admissible. For each described model we have put forward some demands that these models must fulfill in order to be complete.
Keywords
Keywords (english)
Language	croatian
URN:NBN	urn:nbn:hr:126:164980
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
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Created on	2016-11-02 07:23:11