Browsing Bachelor Thesis - Mathematics by Issue Date
Now showing items 21-40 of 49
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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 ... -
Clasifying personal loan by support vector machine
(International University - HCMC, 2019)The main objective of this study is to conduct a classi cation to predict whether a certain loan is safe and does not cause a default. Support Vector Machines is a handling classi cation problems due to its superior ... -
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 ... -
A copula approach to value at risk trade off and economic captital allocation
(International University - HCMC, 2019)Value-at-risk (VaR) is known as the popular measurement for risk of loss in nance. Meanwhile, there are a lot of ways that can use to estimate VaR, such as historical simulation, the variance-covariance, and the Monte ... -
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 ... -
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 ... -
Credit default risk prediction using boosting algorithms
(International University - HCMC, 2019)Credit risk is one of the major nancial challenges that exists in the banking system and nancial institutions. This thesis proposes a Machine-Learning-based approach named Boosting Algorithms in order to solve the ... -
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 ... -
Gaussian process regression for pricing option with stochastic votality and interest rate
(International University - HCMC, 2019)In this thesis, I attempt to apply a capable method of Machine Learning technique that permits of quickly eval- uation of European option value considering the stochas- tics votality and the interest rate. Based on the ... -
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 ... -
Applying pairs trading to Vietnamese stocks
(International University - HCMC, 2019)In this research, we nd out Pairs Trading's de nition, alogrithm. Then we apply pairs trading in Vietnamese stock market. 50 pairs of stocks in Vietnamese stock market are used to apply pairs trading. Next, we use One ... -
Applying dynamic conditional correlation- garch model in portfolio selection of Vietnam's stock market
(International University - HCMC, 2019)This thesis aims to implement Dynamic Conditional Correlation - GARCH model for estimating the conditional covariance matrices in a large dimension for Vietnamese stocks. We rst randomly select a portfolio contains 10 ... -
Estimating Value At Risk Of Portfolio By Garch-Copula Method
(2020)Facing the losses and the harmful agents that investors must suffer. The task that we identify, measure and control risks in order to prevent and minimize these risks alway important. The topic \Estimating Value at Risk ... -
Application Garch-Evt-Copula For Estimation Of Value At Risk
(2020)Value at Risk (VaR) is widely used risk measure in risk management. It is defined as the maximum probable loss on a given portfolio under normal circumstances, commonly accepted as a standard measure of market risk. In ... -
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 ... -
Customer Classification Using K-Means Clustering Method
(2020)Customer is the key component of the success of any business, especially in commercial industry. As a matter of fact, the cost of maintaining existing customers is considerably less than acquiring a new one. Thus, in ... -
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 ... -
Estimaste Sensitivity Of Lookback Option With Simulation Monte Carlo
(2020)Introducing Lookback option and Greeks value and the impact of Greeks on option. Applying Monte Carlo simulation for pricing Lookback call option with fixed strike price and European call option. Option price can be ...