Bc. Jana Benková

Master's thesis

Difuzní procesy se skoky

Jump diffusion processes
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 …more
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 …more
Language used: Slovak
Date on which the thesis was submitted / produced: 30. 4. 2019

Thesis defence

  • Date of defence: 12. 6. 2019
  • Supervisor: Mgr. Ondřej Pokora, Ph.D.
  • Reader: Mgr. David Kraus, Ph.D.

Citation record

Full text of thesis

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Institution archiving the thesis and making it accessible: Masarykova univerzita, Přírodovědecká fakulta

Masaryk University

Faculty of Science

Master programme / field:
Mathematics / Finance Mathematics

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