Browsing Bachelor Thesis - Mathematics by Title
Now showing items 25-44 of 49
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The impacts of free float on liquidity and stock price: Case study of 100 listed firms on Ho Chi Minh stock exchange
(International University - HCMC, 2017)This paper investigates the effect of the free float ratio (FFR) on stock return, price volatility, and trading activity in the Ho Chi Minh Stock Exchange (HOSE). In this study, information was collected about 100 companies ... -
Implied volatility estimation for Asian options via monte carlo methods
(International University - HCMC, 2017)First of all, we discuss about the major issue of computing the implied volatility for multiple kinds of options, such as European options, digital options, but most of all are the over-the-counter (OTC) traded Asian ... -
Levy process with applications in finance and risk management
(International University - HCMC, 2019)This thesis aims to study numerical methods for approximating Lévy Semi-stationary process using Fourier methods. Initially, we introduce the fundamental theories for probability and numerical approximations, especially ... -
Machine Learning Application In Credit Scoring For Vietnam's Retail Loan
(2020)The role of credit scoring in lending decisions can not be overemphasized for financial institutions and the economy at large. An accurate and well-performing credit scorecard allows lenders to control their risk exposure ... -
A machine learning based approach for predicting upgrade of potential customers in banking sector
(International University - HCMC, 2019)Because of the outstanding growth in information, future predicting decisions about strategy development are extremely needed in each area. As a result, machine learning techniques have been used widely in bank- ing ... -
Methods for finding one - year probability of default in credit risk modeling
(International University - HCMC, 2019)Machine Learning is becoming one of the most important elds in our world. The reason is that thanks to the growth of technology, it is getting easier to collect data of individuals, objects, or phenomenons. With the ... -
Modeling Dependence With Copulas In Risk Management
(2020)This thesis is to study the modelling with copulas and its usage in financial risk and portfolio management. We will present the construction of vines and vine copulas and fitting copulas in detail step-by-step, based ... -
Nonpararmetric Regression And Applications In Finance
(2020)This thesis aims to study the methods of nonparametric regressions and a few applications in finance. In this thesis, we will introduce a review of basic knowledge of regression, particularly, nonparametric regression. ... -
Optimal Bank Net Interest Margin By Government Bonds: A Modern Portfolio Approach
(2020)The business model of bank is based on borrowing and lending on the balance sheet. The bank makes a profit by way of borrowing at a lower rate and lending at a higher rate. A crucial task in each bank’s operation is to ... -
Performance measure of convenience stores: A comparison between Vinmart + and familymart in Phu Nhuan district
(International University - HCMC, 2017)The thesis is constructed for the main purpose of finding out agglomeration effects created by various factors surrounding the store locations of VinMart+ and Family Mart convenience store chains in Phu Nhuan District. ... -
Pricing American perpetual put option using ordinary differential equation approach
(International University - HCMC, 2019)This Thesis aims to re-derive formula to pricing the American Perpetual put option under the Black-Scholes framework. We rst derive the formula using the ordinary di erential equation approach. After archived the close ... -
Pricing European Barrier Options With Rebates
(International University - HCMC, 2018)In Vietnam, derivatives market has just started officially very recently, in August, 2017, with futures contracts on VN30 index. It is a very new investment area for Vietnamese investors. This market is however expected ... -
Pricing European Options Using Monte Carlo Simulation With Stochastic Interest Rate
(2020)Over the decades, Black-Scholes formula exploited its efficiency in valuing derivatives. Since that, many mathematicians tried to extend this formula by considering additional risk such as interest rate risk. There were ... -
Pricing Insurance Product With Generalized Linear Models And Price Re-Balancing Using Credibility Theory
(2018)The insurance industry is one of an essential section of economic which contributes significantly to the improvement and development of modern society, and the development of the insurance industry in Vietnam is active ... -
Pricing Insurance Product With Generalized Linear Models And Price Re-Balancing Using Credibility Theory
(International University - HCMC, 2018)The insurance industry is one of an essential section of economic which contributes significantly to the improvement and development of modern society, and the development of the insurance industry in Vietnam is active ... -
A probabilistic approach to price American digital call options on Vietnamese stock
(International University - HCMC, 2019)The probabilistic and numerical method for pricing American digital call options has been investigated signi cantly in the developed and emerging markets; however, only a few studies have been applied in the case of the ... -
Quantile Regression And Application To Stock Return
(2020)My thesis aims to investigate the relation between risk and return on VN-Index. Apart from the normal estimation, the least squares approach, a quantile regression is applied in thesis. My findings found that the coefficient ... -
Random walk duality and the valuation of discrete lookback option
(International University - HCMC, 2019)Applying a numerical method made of the duality theory of random walks to analyze and evaluate the discrete-time lookback options using. This methodology provides a recursive numerical integration which gives fast and ... -
Stochastc Approach For Bond Valuation
(International University - HCMC, 2018)This paper is aimed to describe Vasicek and Cox-Ingersoll-Ross models and estimate the paramerters. Then putting these parametter in pricing formula to estimate the zero-coupon bond price by using Solver in Excel. I also ... -
Stress testing of Vietnamese commercial banks using var model, panel regression and simulation
(International University - HCMC, 2017)This thesis determines to be concerned with stress testing at the macro level with changes in the economic situations .In recent years, especially after the global financial crisis in 2008, stress testing has been more ...