Browsing Bachelor Thesis - Mathematics by Title
Now showing items 33-49 of 49
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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 ... -
Studying the efficiency of Vietnamese commercial banks by using data envelopment approach (DEA)
(International University - HCMC, 2019)Assessment of resource use e ciency of a decision-making unit (Decision Making Unit - DMU) based on non-parametric approaches of Data Envelopment Analysis (DEA) has been widely applied in many elds and in many parts of ... -
Target risk of portfolios with return constraints: Optimization of conditional value at risk
(International University - HCMC, 2017)This paper is a study about Conditional Value at Risk (CVaR) concept which is widely known as an efficient instrument for measuring the amount of loss and also constructing an optimal portfolio. Based on the crucial objective ... -
Using fuzzy goal approach for portfolio optimizition
(International University - HCMC, 2017)Mathematical applications is widely used in di erent aspects of human life, particularly in nance. Quantitative models are created to nd the optimal solutions for nancial problems have helped signi cantly banking ... -
Value at risk analysis of options and bonds
(International University - HCMC, 2019)This thesis aims to provide some methodology for estimating the Value-at-Risk (VaR) for options and bonds. We rst introduce a review of basic knowledge for stochastic calculus. Based on some de nitions of VaR, the ... -
What Factors Drive Systemic Risks In Asian Emerging Markets
(2020)Determinants of systemic risk have been extensively investigated in developed markets and using the Ordinary Least Squares (OLS) regression models. However, several studies in the top-tier journals in finance and banking ...