Bc. Jana Benková
Master's thesis
Difuzní procesy se skoky
Jump diffusion processes
Abstract:
In this thesis we study the jump diffusion processes. We have mainly focused on the Merton’s jump-diffusion process, which continuous part is the geometric Brownian motion and the jump element is the Poisson compound process, as well as the jump element in the second described process, which continuous part is formed by the Ornstein-Uhlenbeck process. Firstly, we described the basic random processes …moreAbstract:
V tejto diplomovej práci sa venujeme difúznym procesom so skokmi. Zamerali sme sa konkrétne na Mertonov difúzny proces so skokmi, ktorého spojitú časť tvorí geometrický Brownov pohyb a skokovú časť tvorí Poissonov zložený proces, rovnako ako pri ďalšom uvažovanom procese, ktorého spojitá časť je tvorená Ornstein-Uhlenbeckovým procesom. Najskôr sme popísali základné náhodné procesy a nástroje stochastickej …moreKeywords
Náhodný proces Poissonov zložený proces Geometrický Brownov pohyb Ornstein-Uhlenbeckov proces Difúzne procesy so skokmi Mertonov proces Lévyho procesy Stochastic process Poisson compound process Geometric Brownian motion Ornstein-Uhlenbec process Jump diffusion processes Merton's process Lévy processes
Language used: Slovak
Date on which the thesis was submitted / produced: 30. 4. 2019
Identifier:
https://is.muni.cz/th/yjz96/
Thesis defence
- Date of defence: 12. 6. 2019
- Supervisor: Mgr. Ondřej Pokora, Ph.D.
- Reader: Mgr. David Kraus, Ph.D.
Full text of thesis
Contents of on-line thesis archive
Published in Theses:- světu
Other ways of accessing the text
Institution archiving the thesis and making it accessible: Masarykova univerzita, Přírodovědecká fakultaMasaryk University
Faculty of ScienceMaster programme / field:
Mathematics / Finance Mathematics
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