Bc. Júlia Pisárová

Master's thesis

Využití kopulí v ekonomii

Applications of copulas in economy
Abstract:
The aim of this thesis is to study the copula functions and their applications in economy. The thesis contains a theoretical definition of the copula and its properties, as well as the method of using copulas for option pricing and various methods of copula estimation. The practical part is focused on modelling the real data of two different companies using the copulas in the R programming environment …more
Abstract:
Cieľom tejto práce je preštudovať kopula funkcie a ich aplikácie v ekonómii. Práca obsahuje teoretické vymedzenie pojmu kopula a jej vlastností, ako aj spôsobu použitia kopúl na oceňovanie opcií a rôznych metód odhadovania kopúl. Praktická časť je zameraná na modelovanie s reálnymi dátami dvoch rôznych spoločností za využitia kopúl v programovacom prostredí R. Zároveň boli za pomoci kopúl generované …more
 

Keywords

Kopula Sklarova veta Odhady kopúl Digitálna opcia Kopula prežitia Jadrová kopula Copula Sklar's theorem Copula estimation Digital option Survival copula Kernel copula
 
Language used: Slovak
Date on which the thesis was submitted / produced: 7. 1. 2019
Identifier: https://is.muni.cz/th/ft4v3/

Thesis defence

  • Date of defence: 5. 2. 2019
  • Supervisor: Mgr. Ondřej Pokora, Ph.D.
  • Reader: doc. Mgr. Jan Koláček, Ph.D.

Citation record

Cite this text

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 fakulta
Složka Reference to the local database directory of the institution

Masaryk University

Faculty of Science

Master programme / field:
Mathematics / Finance Mathematics

Theses on a related topic

List of theses with an identical keyword.
All theses