magistrsko delo
Manca Homar (Author), Janez Bernik (Mentor)

Abstract

Vrednotenje vpoglednih vlog in določanje replikativnega portfelja

Keywords

finančna matematika;Brownovo gibanje;Ornstein-Uhlenbeckov proces;do tveganja nevtralna verjetnost;Vasičkov model;Ho-Leejev model;neto sedanja vrednost depozitov;replikativni portfelj;

Data

Language: Slovenian
Year of publishing:
Typology: 2.09 - Master's Thesis
Organization: UL FMF - Faculty of Mathematics and Physics
Publisher: [M. Homar]
UDC: 519.6
COBISS: 16573785 Link will open in a new window
Views: 1298
Downloads: 280
Average score: 0 (0 votes)
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Other data

Secondary language: English
Secondary keywords: Brownian motion;Ornstein-Uhlenbeck process;risk neutral probability;Vasiček model;Ho-Lee model;net present value of deposit;replicating portfolio;
Type (COBISS): Master's thesis/paper
Thesis comment: Univ. v Ljubljani, Fak. za matematiko in fiziko, Oddelek za matematiko, Finančna matematika - 2. stopnja
Pages: 58 f.
ID: 10911110
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