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Analysis of interest rate markets
Analýza trhu úrokových měr
diploma thesis
Advisor: Janeček, Karel
Date Issued:
Date of defense: 23. 09. 2008
Faculty / Institute: Matematicko-fyzikální fakulta / Faculty of Mathematics and Physics
Abstract: The aim of this thesis is to introduce probabilistic stochastic interest rate models in continuous time. Presented models are It^o processes defined by parameters, which are trying to describe interest rate behavior in the ...
Prediction of transformed time series
Predikce transformovaných časových řad
diploma thesis
Advisor: Anděl, Jiří
Date Issued:
Date of defense: 15. 05. 2008
Faculty / Institute: Matematicko-fyzikální fakulta / Faculty of Mathematics and Physics
Abstract: The aim of this thesis is to find prediction for non-linear transformation of time series. First, under certain assumptions regarding the original time series, the autocovariance function and spectral density of the ...
Set-indexed stochastic processes
Náhodné procesy indexované množinami
diploma thesis
Advisor: Pawlas, Zbyněk
Date Issued:
Date of defense: 15. 05. 2008
Faculty / Institute: Matematicko-fyzikální fakulta / Faculty of Mathematics and Physics
Abstract: This thesis deals with the problem of estimating the joint probability distribution of a marked process' parameters from a censored data. First, a Nelson-Aalen estimator of the cumulative hazard rate for one-dimensional ...
Statistical inference for random processes
Statistické úlohy pro náhodné procesy
diploma thesis
Advisor: Hlubinka, Daniel
Date Issued:
Date of defense: 15. 05. 2008
Faculty / Institute: Matematicko-fyzikální fakulta / Faculty of Mathematics and Physics
Abstract: The thesis deals with testing hypotheses about the parameters of the Wiener process with a constant drift rate and instantaneous variance. The tests are based on the first time, when the process reaches a pre-specified ...
Measures for efficiency and eco-efficiency
Měření eficience a eko-eficience
diploma thesis
Advisor: Lachout, Petr
Date Issued:
Date of defense: 23. 09. 2008
Faculty / Institute: Matematicko-fyzikální fakulta / Faculty of Mathematics and Physics
Abstract: Porovnání ekonomických subjektu na mikro- i makroekonomické úrovni jednotným ukazatelem se provádí měřením eficience jako nástroje pro ohodnocení výkonnosti nebo efektivity subjektu. Pro každý ekonomický subjekt může být ...
Comparison between the economic subjects on micro and macro economic levels by a unitary indicator is provided by measuring efficiency as an evaluation of the performance of subjects. For each economic subject technical, ...
Comparison between the economic subjects on micro and macro economic levels by a unitary indicator is provided by measuring efficiency as an evaluation of the performance of subjects. For each economic subject technical, ...
Value-at-Risk estimation - non standard approaches.
Odhady Value-at-Risk - nestandardní postupy.
diploma thesis
Advisor: Dupačová, Jitka
Date Issued:
Date of defense: 12. 05. 2008
Faculty / Institute: Matematicko-fyzikální fakulta / Faculty of Mathematics and Physics
Abstract: The topic of the presented work is Value-at-Risk (VaR) and its estimation. VaR is a financial risk measure and is defined as a quantile of the distribution of future returns, resp. losses. There exist various methods based ...
Kapitálový požadavek ke kreditnímu riziku
Kapitálový požadavek ke kreditnímu riziku
diploma thesis
Advisor: Keprta, Stanislav
Date Issued:
Date of defense: 10. 02. 2009
Faculty / Institute: Matematicko-fyzikální fakulta / Faculty of Mathematics and Physics
Abstract: V předložené práci studujeme způsob stanovení výše kapitálového požadavku ke kreditnímu riziku, který byl navržen Basilejským výborem pro bankovní dohled a který je po zaintegrování do evropské legislativy, t.j. od 1.1.2007 ...
In the present work we study the process of determination of capital requirement for credit risk that is recommended by the Basel Commitee for Banking Supervision to implement into national legislation and that is also ...
In the present work we study the process of determination of capital requirement for credit risk that is recommended by the Basel Commitee for Banking Supervision to implement into national legislation and that is also ...
Multivariate Extremes
Vícerozměrné extrémy
diploma thesis
Advisor: Hlubinka, Daniel
Date Issued:
Date of defense: 06. 02. 2009
Faculty / Institute: Matematicko-fyzikální fakulta / Faculty of Mathematics and Physics
Abstract: This work considers various approaches for modelling multivariate extremal events. First we review theory in the univariate case| the Fisher-Tippett theorem and the generalized Pareto distribution. We proceed with an ...
Itôův a Stratonovičův stochastický integrál
Itôův a Stratonovičův stochastický integrál
diploma thesis
Advisor: Hlubinka, Daniel
Date Issued:
Date of defense: 26. 01. 2009
Faculty / Institute: Matematicko-fyzikální fakulta / Faculty of Mathematics and Physics
Abstract: In this thesis the Ito stochastic integral and the Stratonovich stochastic integrals are studied. Their basic and some special properties are shown. Further the theory of the numerical solution of stochastic differential ...
Complementarity in economy
Úlohy komplementarity v ekonomii
bachelor thesis
Advisor: Červinka, Michal
Date Issued:
Date of defense: 11. 09. 2007
Faculty / Institute: Matematicko-fyzikální fakulta / Faculty of Mathematics and Physics
Abstract not found