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master's thesis
Binomni model kamatnih stopa
Zagreb: University of Zagreb, Faculty of Science, 2018. urn:nbn:hr:217:267963
Labaš, Petra
University of Zagreb
Faculty of Science
Department of Mathematics

Institutional repository: Repository of the Faculty of Science

Cite this document

Labaš, P. (2018). Binomni model kamatnih stopa (Master's thesis). Zagreb: University of Zagreb, Faculty of Science. Retrieved from https://urn.nsk.hr/urn:nbn:hr:217:267963

Labaš, Petra. "Binomni model kamatnih stopa." Master's thesis, University of Zagreb, Faculty of Science, 2018. https://urn.nsk.hr/urn:nbn:hr:217:267963

Labaš, Petra. "Binomni model kamatnih stopa." Master's thesis, University of Zagreb, Faculty of Science, 2018. https://urn.nsk.hr/urn:nbn:hr:217:267963

Labaš, P. (2018). 'Binomni model kamatnih stopa', Master's thesis, University of Zagreb, Faculty of Science, accessed 05 December 2024, https://urn.nsk.hr/urn:nbn:hr:217:267963

Labaš P. Binomni model kamatnih stopa [Master's thesis]. Zagreb: University of Zagreb, Faculty of Science; 2018 [cited 2024 December 05] Available at: https://urn.nsk.hr/urn:nbn:hr:217:267963

P. Labaš, "Binomni model kamatnih stopa", Master's thesis, University of Zagreb, Faculty of Science, Zagreb, 2018. Available at: https://urn.nsk.hr/urn:nbn:hr:217:267963

Metadata
TitleBinomni model kamatnih stopa
AuthorPetra Labaš
MentorZoran Vondraček (mentor)
Committee memberZoran Vondraček (predsjednik povjerenstva)
Committee memberGoran Muić (član povjerenstva)
Committee memberVjeran Hari (član povjerenstva)
Committee memberZlatko Drmač (član povjerenstva)
GranterUniversity of Zagreb
Faculty of Science
(Department of Mathematics)
Zagreb
Defense date and country2018-09-24, Croatia
Scientific / art field,
discipline and subdiscipline		NATURAL SCIENCES
Mathematics
Abstract
U ovom radu proučili smo binomni model za vrednovanje financijske imovine ovisne o kamatnim stopama. Početni dio rada čini razmatranje teorije o beskuponskim obveznicama jer su nam one potrebne za definiranje cijena ostalih vrsta ugovora. Već na samom početku uvodimo i pojam ekvivalentne martingalne mjere kako bismo osigurali da model ne podržava mogućnost arbitraže. Na taj način za sve vrste imovine izvodimo cijene neutralne na rizik te dolazimo do teorema koji dokazuje da su svi procesi, koji opisuju diskontirane vrijednosti portfelja, zapravo martingali. Upravo taj teorem čini temelje za nastavak razvoja modela. U ostatku rada uspoređujemo različite vrste ugovora i njihove cijene (swap, cap, floor, forward i futures) te zaključke demonstriramo kroz primjere. Definiramo još i tzv. forward mjeru koja nam olakšava računanje cijena izvedenica
Abstract (english)
This paper presents the binomial model which is useful for evaluating prices of interest rate depending assets. We started with a discussion about zero-coupon bonds because they are necessary for pricing of the other asset classes. At the very beginning, equivalent martingale measure is introduced in order to avoid the arbitrage. According to this assumption, we developed risk-neutral prices for all asset classes and stated the theorem which claims that all discounted portfolio processes are martingales. This result is the basis for the rest of the thesis. Also, different types of contracts (swap, cap, floor, forward and futures) and their prices were compared and demonstrated through the examples. Furthermore, we introduced a forward measure which makes the pricing of derivative securities pretty simpler in regards to martingale measure.
Keywords
Keywords (english)
Languagecroatian
URN:NBNurn:nbn:hr:217:267963
Study programmeTitle: Finance and Business Mathematics
Study programme type: university
Study level: graduate
Academic / professional title: magistar/magistra matematike (magistar/magistra matematike)
Type of resourceText
File originBorn digital
Access conditionsOpen access
Terms of useLicence In copyright icon
Created on2019-05-30 11:32:06