Browsing Mathematics by Issue Date
Now showing items 1-20 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 ... -
Analysis model for company valuation : A case of Vietnam dairy products joint stock company
(International University - HCMC, 2017)Business analysis and valuation is used to analyze the performance of an enterprise in the past along with the economic and industry situation to measuring the intrinsic value of stock price of that firm and determine how ... -
Banking efficiency with risk control variables using data envelopment analysis and malmquist index
(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 ... -
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 ... -
Altman's Z-score model and its bankruptcy predictive ability
(International University - HCMC, 2017)Investing and managing cash flow efficiently helps market participants making profits and becomes successful. However, not anyone joining the market has the financial background to evaluate the opportunity they have, whether ... -
Exposure at default under basel II and III
(International University - HCMC, 2017)The main reason for the financial crisis 2008 in the worldwide banking systems was the ignorance of the counterparty credit risk (CCR). In response, the Basel Committee on Banking Supervision introduced a new credit ... -
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 ... -
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 ... -
Constructing triangular fuzzy number: The relationship between fuzzy logic controller and probabilistic controller
(International University - HCMC, 2017)The fuzzy logic proposed by Zadeh in 19965 was expected to an infusion of probability in dealing with imprecision. In 1995, Zadeh stated that probability theory and fuzzy logic was complementary rather than competitive. ... -
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. ... -
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 ... -
Credit valuation adjustment capital charge under basel III on interest rate swap
(International University - HCMC, 2017)This thesis aims to provide an overview of Credit Valuation Adjustment (CVA) Capital Charge introduced in Basel III together with its importance for banks’ solvency position and the illustration of computing CVA capital. ... -
Copula Theory And Application In Financial Engnineering
(International University - HCMC, 2018)This report will introduce a new way to describe the interdependence between returns and volatility of financial assets. It is based on the concept of copulas. The definition of mathematics, some characteristic properties ... -
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 ... -
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 ... -
Factor Models And Applications To VietNam Stock Market
(International University - HCMC, 2018)The study examines the relevance of the Fama - French five factor model on real estate stocks in the Ho Chi Minh Stock Exchange (HOSE) from 2013-2017. It focuses on the significant level of explanation for the return of ... -
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 ... -
Elements That Affect To The Prices Of Apartments In Ho Chi Minh City
(International University - HCMC, 2018)The research content of this thesis is conducted base on the perspective of the buyer of the apartment. Research using the Hedonic model and Principal Component Analysis (PCA) to determine the factors affecting the price ... -
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 ... -
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 ...