1. Garch option pricing model : master's thesisMateo Antonac, 2022, master's thesis Keywords: options, stock options, Black-Scholes model, CEV model, ARCH model, GARCH model, constant volatility, martingale distribution
Published in RUP: 20.06.2023; Views: 1268; Downloads: 19
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2. A decomposition for Markov processes at an independent exponential timeMihael Perman, 2017, original scientific article Abstract: The path of Markov process ▫$X$▫ run up to an independent exponential random time ▫$S_\theta$▫ can be decomposed into the part prior to the last exit time from a point before ▫$S_\theta$▫, and the remainder up to ▫$S_\theta$▫. In this paper the laws of the two segments are identified under suitable assumptions using excursion theory.
Published in RUP: 03.01.2022; Views: 1269; Downloads: 20
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3. Kreditno tveganje v zavarovalništvu : magistrsko deloTjaša Krašna, 2021, master's thesis Keywords: solventnost II, standardna formula, tržno tveganje, kreditno tveganje, Mertonov model, KMV model, CreditMetrics model, CreditRisk+ model, tveganje neplačila nasprotne stranke, tveganje razpona
Published in RUP: 18.10.2021; Views: 2546; Downloads: 20
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4. Računanje sestavljenih porazdelitev : diplomsko deloMitja Benčina, 2016, undergraduate thesis Keywords: sestavljene porazdelitve, rodovna funkcija, karakteristična funkcija, rekurzivna formula, Panjerjeva rekurzija, pričakovana izguba, nepričakovana izguba, alokacija kapitala
Published in RUP: 23.07.2020; Views: 1996; Downloads: 48
Full text (1,50 MB) |
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