Vrednotenje vpoglednih vlog in določanje replikativnega portfelja : magistrsko delo

Homar, Manca (author), Bernik, Janez (mentor)

• Language: Slovenian
• Keywords: finančna matematika, Brownovo gibanje, Ornstein-Uhlenbeckov proces, do tveganja nevtralna verjetnost, Vasičkov model, Ho-Leejev model, neto sedanja vrednost depozitov, replikativni portfelj
• Work type: Master's thesis/paper
• Typology: 2.09 - Master's Thesis
• Organization: FMF - Faculty of Mathematics and Physics
• Place of publishing: Ljubljana
• Publisher: [M. Homar]
• Year: 2012
• Number of pages: 58 f.
• PID: 20.500.12556/RUL-96889
• UDC: 519.6
• COBISS.SI-ID: 16573785
• Publication date in RUL: 17.10.2017

Secondary language

• Language: English
• Keywords: Brownian motion, Ornstein-Uhlenbeck process, risk neutral probability, Vasiček model, Ho-Lee model, net present value of deposit, replicating portfolio