| Title | Potpunost modela financijskog tržišta u diskretnom vremenu |
| Author | Marija Varga |
| Mentor(s) | Nenad Šuvak (thesis advisor)
|
| 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. |
| Keywords | financial market discrete time financial instruments prices and returns options arbitrage contingent claim completeness od the model |
| Parallel title (English) | Completeness of Financial Market Discrete Time Models |
| Committee Members | Darija Marković (committee chairperson)
Nenad Šuvak (committee member)
Dragana Jankov Maširević (committee member)
|
| Granter | Josip Juraj Strossmayer University of Osijek
Department of Mathematics |
| Lower level organizational units | Chair of Pure Mathematics
Probability and Mathematical Statistics Research Group |
| Place | Osijek |
| State | Croatia |
| Scientific field, discipline, subdiscipline | NATURAL SCIENCES
Mathematics
Applied Mathematics and Mathematical Modeling
|
| Study programme type | university |
| Study level | graduate |
| Study programme | Mathematics; specializations in: Financial and Statistical Mathematics, Mathematics and Computer Science, Industrial and Applied Mathematics |
| Study specialization | Financial and Statistical Mathematics |
| Academic title abbreviation | mag.math. |
| Genre | master's thesis |
| Language | Croatian |
| Defense date | 2016-10-21 |
| Parallel 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. |
| Parallel keywords (Croatian) | financijsko tržište diskretno vrijeme financijski instrumenti cijene i povrati opcije arbitraža slučajni zahtjev potpunost modela |
| Resource type | text |
| Access condition | Open access |
| Terms of use |  |
| URN:NBN | https://urn.nsk.hr/urn:nbn:hr:126:164980 |
