| dc.contributor.advisor | Hlubinka, Daniel | |
| dc.creator | Voldán, Adam | |
| dc.date.accessioned | 2017-04-13T09:24:55Z | |
| dc.date.available | 2017-04-13T09:24:55Z | |
| dc.date.issued | 2009 | |
| dc.identifier.uri | http://hdl.handle.net/20.500.11956/18947 | |
| dc.description.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 equations (SDE) is introduced. Using simple examples the properties of chosen numerical schemes are presented. Finally the Black-Scholes-Merton formula for pricing of European call option is sketched, and similar problems are numerically solved using the above presented algorithms. | en_US |
| dc.language | English | cs_CZ |
| dc.language.iso | en_US | |
| dc.publisher | Univerzita Karlova, Matematicko-fyzikální fakulta | cs_CZ |
| dc.title | Itôův a Stratonovičův stochastický integrál | en_US |
| dc.type | diplomová práce | cs_CZ |
| dcterms.created | 2009 | |
| dcterms.dateAccepted | 2009-01-26 | |
| dc.description.department | Department of Probability and Mathematical Statistics | en_US |
| dc.description.department | Katedra pravděpodobnosti a matematické statistiky | cs_CZ |
| dc.description.faculty | Faculty of Mathematics and Physics | en_US |
| dc.description.faculty | Matematicko-fyzikální fakulta | cs_CZ |
| dc.identifier.repId | 46490 | |
| dc.title.translated | Itôův a Stratonovičův stochastický integrál | cs_CZ |
| dc.contributor.referee | Dostál, Luboš | |
| dc.identifier.aleph | 001037979 | |
| thesis.degree.name | Mgr. | |
| thesis.degree.level | navazující magisterské | cs_CZ |
| thesis.degree.discipline | Probability, mathematical statistics and econometrics | en_US |
| thesis.degree.discipline | Pravděpodobnost, matematická statistika a ekonometrie | cs_CZ |
| thesis.degree.program | Mathematics | en_US |
| thesis.degree.program | Matematika | cs_CZ |
| uk.thesis.type | diplomová práce | cs_CZ |
| uk.taxonomy.organization-cs | Matematicko-fyzikální fakulta::Katedra pravděpodobnosti a matematické statistiky | cs_CZ |
| uk.taxonomy.organization-en | Faculty of Mathematics and Physics::Department of Probability and Mathematical Statistics | en_US |
| uk.faculty-name.cs | Matematicko-fyzikální fakulta | cs_CZ |
| uk.faculty-name.en | Faculty of Mathematics and Physics | en_US |
| uk.faculty-abbr.cs | MFF | cs_CZ |
| uk.degree-discipline.cs | Pravděpodobnost, matematická statistika a ekonometrie | cs_CZ |
| uk.degree-discipline.en | Probability, mathematical statistics and econometrics | en_US |
| uk.degree-program.cs | Matematika | cs_CZ |
| uk.degree-program.en | Mathematics | en_US |
| thesis.grade.cs | Dobře | cs_CZ |
| thesis.grade.en | Good | en_US |
| uk.abstract.en | 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 equations (SDE) is introduced. Using simple examples the properties of chosen numerical schemes are presented. Finally the Black-Scholes-Merton formula for pricing of European call option is sketched, and similar problems are numerically solved using the above presented algorithms. | en_US |
| uk.file-availability | V | |
| uk.publication.place | Praha | cs_CZ |
| uk.grantor | Univerzita Karlova, Matematicko-fyzikální fakulta, Katedra pravděpodobnosti a matematické statistiky | cs_CZ |
| dc.identifier.lisID | 990010379790106986 | |
