zaključna naloga
Ivana Jović (Author), Arjana Brezigar Masten (Mentor)

Abstract

Uporaba Kalmanovega filtra pri vrednotenju izbranih finančnih instrumentov

Keywords

Kalmanov filter;Kalmanov filter v financah;napovedovanje cene;Brownovo gibanje;geometrijsko Brownovo gibanje;spot cena;

Data

Language: Slovenian
Year of publishing:
Source: Koper
Typology: 2.11 - Undergraduate Thesis
Organization: UP - University of Primorska
Publisher: [I. Jović]
UDC: 681.5.015.44(043.2)
COBISS: 1537851844 Link will open in a new window
Views: 2895
Downloads: 20
Average score: 0 (0 votes)
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Other data

Secondary language: English
Secondary title: Using Kalman flter for pricing fnancial instruments
Secondary keywords: Kalman filter;Kalman filter in finance;predicting price;Brownian motion;geometric Brownian motion;spot price;
Type (COBISS): Final paper
Thesis comment: Univ. na Primorskem, Fak. za matematiko, naravoslovje in informacijske tehnologije
Pages: VIII, 29 f., [3] f. pril.
ID: 9058494