Mathematics: Recent submissions
Now showing items 21-40 of 49
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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 ... -
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 ... -
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 ... -
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 ... -
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 ... -
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 ... -
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 ... -
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 ... -
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 ... -
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 ... -
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 ... -
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 ... -
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 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 ... -
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 ... -
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 ... -
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. ... -
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 ... -
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 ...