Mathematics
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The Black Litterman Model For Portfolio Optimization
(2020)In this thesis we exploit the Black-Litterman model to practice on the Vietnam stock market that using historical price data over 5-year period from January 2015 to October 2019. The model allows investors to express ... -
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. ... -
Compare Hidden Markov Model And Artificial Neural Network For Predicting Stock Price
(2020)In recent years, predicting the stock’s future price based on the past data has never ceased to draw researchers and investors’ attention. Because of the high fluctuation of the stock market every day, stock price ... -
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 ... -
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 ... -
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 ... -
Applying Conditional Value At Risk In Optimizing Portfolios
(2020)Value at Risk (VaR) & Conditional Value at Risk (CVaR) is a portfolio risk assessment method, but CVaR is a more accurate and advanced risk identification than VaR. In this thesis, we will briefly introduce VaR the ... -
Forecasting Value At Risk With Long Short Term Memory (Lstm)
(2020)In consideration of the current financial situation, managing risk and forecasting losses play a vital role in financial investment. This thesis aims to apply Long Short Term Memory Model (LSTM) to forecast and estimate ... -
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 ... -
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 ... -
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 ... -
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 ... -
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 ... -
A Hybrid Arima And Artificial Neutral Network In Forecasting
(2020)Autoregressive Integrated Moving Average models (ARIMA) is a popular choice of many statisticians or corporate forecasters in financial forecasting during the past three decades. However, the drawback of ARIMA models is ... -
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 ... -
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 ... -
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 ... -
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 ... -
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 ...
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