Browsing Bachelor Thesis - Mathematics by Title

Now showing items 42-49 of 49

    • Random walk duality and the valuation of discrete lookback option 

      Hoa, Nguyen Thi Bich (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 

      Nguyen Thi Hoang, Yen (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 

      Tram, Nguyen Thi Ngoc (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) 

      Tung, Vo Thanh (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 

      Linh, Huynh Thi My (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 

      Hoan, Duong Khai (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 

      Yen, Ha Thi Phi (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 

      Ta, Thi Thanh Thuy (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 ...