Modeli kratkoročnih kamatnih stopa

Čuljak, Maria

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master's thesis

Modeli kratkoročnih kamatnih stopa

Zagreb: University of Zagreb, Faculty of Science, 2015. urn:nbn:hr:217:593413

Čuljak, Maria

University of Zagreb
Faculty of Science
Department of Mathematics

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APA 6th Edition

Čuljak, M. (2015). Modeli kratkoročnih kamatnih stopa (Master's thesis). Zagreb: University of Zagreb, Faculty of Science. Retrieved from https://urn.nsk.hr/urn:nbn:hr:217:593413

MLA 8th Edition

Čuljak, Maria. "Modeli kratkoročnih kamatnih stopa." Master's thesis, University of Zagreb, Faculty of Science, 2015. https://urn.nsk.hr/urn:nbn:hr:217:593413

Chicago 17th Edition

Čuljak, Maria. "Modeli kratkoročnih kamatnih stopa." Master's thesis, University of Zagreb, Faculty of Science, 2015. https://urn.nsk.hr/urn:nbn:hr:217:593413

Harvard

Čuljak, M. (2015). 'Modeli kratkoročnih kamatnih stopa', Master's thesis, University of Zagreb, Faculty of Science, accessed 27 December 2024, https://urn.nsk.hr/urn:nbn:hr:217:593413

Vancouver

Čuljak M. Modeli kratkoročnih kamatnih stopa [Master's thesis]. Zagreb: University of Zagreb, Faculty of Science; 2015 [cited 2024 December 27] Available at: https://urn.nsk.hr/urn:nbn:hr:217:593413

IEEE

M. Čuljak, "Modeli kratkoročnih kamatnih stopa", Master's thesis, University of Zagreb, Faculty of Science, Zagreb, 2015. Available at: https://urn.nsk.hr/urn:nbn:hr:217:593413

Cite this item: https://urn.nsk.hr/urn:nbn:hr:217:593413

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Metadata

Title	Modeli kratkoročnih kamatnih stopa
Author	Maria Čuljak
Mentor	Miljenko Huzak (mentor)
Committee member	Miljenko Huzak (predsjednik povjerenstva)
Committee member	Pavle Goldstein (član povjerenstva)
Committee member	Mirko Polonijo (član povjerenstva)
Committee member	Boris Muha (član povjerenstva)
Granter	University of Zagreb Faculty of Science (Department of Mathematics) Zagreb
Defense date and country	2015-09-23, Croatia
Scientific / art field, discipline and subdiscipline	NATURAL SCIENCES Mathematics
Abstract	U ovom diplomskom radu smo se bavili vrednovanjem financijskih instrumenata, preciznije vrednovanjem opcije na temelju obveznice. Prvo poglavlje daje pregled, karakterizaciju te definicije osnovnih financijskih instrumenata. U drugom i trećem poglavlju navodimo glavne tvrdnje potrebne za razumijevanje arbitražne teorije Brownovog financijskog tržišta. Spomenuti su važni teoremi stohastičkog računa. Prvi stohastički modeli kamatnih stopa su bili modeli kratkoročnih stopa. Četvrto poglavlje daje uvod u difuzijske kratkoročne modele i analizu najvažnijih poznatih modela sa naglaskom na tzv. afine modele. U petom poglavlju promatramo T−obveznice. Standardni numerarij (američki dolar, euro i sl.) ćemo zamijeniti sa T−obveznicom. Ovaj način zamjene numerarija se u praksi koristi kod vrednovanja opcija te daje uvod u posljednje poglavlje. Šesto poglavlje daje primjer gdje koristimo Vasičekov model za vrednovanje cijene ATM put opcije.
Abstract (english)	In this master thesis we were working on estimation of financial instruments, precisely, bond option pricing. First chapter gives introduction, characterization and properties of the main financial instruments. In the second and third chapter we give main results necessary for understanding of arbitrage theory of Brownian financial markets. We annotate important theorems regarding stochastic calculus. First stochastic models were the short rate models. Fourth chapter gives introduction in the diffusion of short rate models and analysis of the Vasiček and CIR affine models. In the fifth chapter we observe T−bonds. Standard numeraire (American dollar, euro etc.) we substitute with the T−bond. Process of switching a numeraire is standard in the industry for bond option pricing and it is giving us an introduction into the last chapter. Sixth chapter is an example where we use Vasiček’s model for ATM option pricing.
Keywords
Keywords (english)
Language	croatian
URN:NBN	urn:nbn:hr:217:593413
Study programme	Title: Mathematical Statistics 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
Repository	Repository of the Faculty of Science
Created on	2019-01-08 11:22:42