Analýza strukturovaných produktů
After an introduce to theory of stochastic analysis used in financial mathematics the structured products and their pricing are studied in the present work. Particularly one type of barrier options (down-and-out call options) and one type of structured swaps (range accrual swaps) are focused. First...
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| Format: | Dissertation |
| Language: | Czech |
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2009
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| Online Access: | http://www.nusl.cz/ntk/nusl-275300 |
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ndltd-nusl.cz-oai-invenio.nusl.cz-275300 |
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ndltd-nusl.cz-oai-invenio.nusl.cz-2753002017-06-27T04:39:46Z Analýza strukturovaných produktů The analysis of structured products Zichová, Jitka Kocúrová, Barbora Myška, Petr After an introduce to theory of stochastic analysis used in financial mathematics the structured products and their pricing are studied in the present work. Particularly one type of barrier options (down-and-out call options) and one type of structured swaps (range accrual swaps) are focused. First the analytical formulae are derived and then numerical results of analytical formulae are compared with the results estimated on the basis of simulation Monte Carlo. In the final part of the work some variables like Greeks, duration, convexity and VaR used in quantitative analysis are mentioned. 2009 info:eu-repo/semantics/masterThesis http://www.nusl.cz/ntk/nusl-275300 cze info:eu-repo/semantics/restrictedAccess |
| collection |
NDLTD |
| language |
Czech |
| format |
Dissertation |
| sources |
NDLTD |
| description |
After an introduce to theory of stochastic analysis used in financial mathematics the structured products and their pricing are studied in the present work. Particularly one type of barrier options (down-and-out call options) and one type of structured swaps (range accrual swaps) are focused. First the analytical formulae are derived and then numerical results of analytical formulae are compared with the results estimated on the basis of simulation Monte Carlo. In the final part of the work some variables like Greeks, duration, convexity and VaR used in quantitative analysis are mentioned. |
| author2 |
Zichová, Jitka |
| author_facet |
Zichová, Jitka Kocúrová, Barbora |
| author |
Kocúrová, Barbora |
| spellingShingle |
Kocúrová, Barbora Analýza strukturovaných produktů |
| author_sort |
Kocúrová, Barbora |
| title |
Analýza strukturovaných produktů |
| title_short |
Analýza strukturovaných produktů |
| title_full |
Analýza strukturovaných produktů |
| title_fullStr |
Analýza strukturovaných produktů |
| title_full_unstemmed |
Analýza strukturovaných produktů |
| title_sort |
analýza strukturovaných produktů |
| publishDate |
2009 |
| url |
http://www.nusl.cz/ntk/nusl-275300 |
| work_keys_str_mv |
AT kocurovabarbora analyzastrukturovanychproduktu AT kocurovabarbora theanalysisofstructuredproducts |
| _version_ |
1718467820991283200 |