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Financial functions in Mathematica
Stacho, Michal ; Hurt, Jan (advisor) ; Zichová, Jitka (referee)
The Mathematica software contains a fully integrated environment for a large number of instruments used in classical and modern finance. One of it`s basic capabilities is an advanced evaluation of the time value of money, then pricing of financial instruments such as bonds or financial derivatives and finally financial mapping with advanced library of technical indicators. Mathematica also provides immediate access to a large field of financial and economic data through external servers and offers financial tools for working with external data. This thesis deals with descriptions of the functions implemented in Mathematica, explaining the principle of their operation and application to real data.
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Treshold models for financial time series
Stacho, Michal ; Zichová, Jitka (advisor) ; Prášková, Zuzana (referee)
In modeling of financial time series is widely accepted ARCH model with conditional heteroscedasticity, but this model is not able to operate with other non-linearities such as leverage or asymmetry (the volume of revenue is different when the yield is positive or negative). Therefore, we work in this thesis with threshold models TAR, TARCH and DTARCH. These models have piecewise linear conditional mean and DTARCH model even piecewise linear conditional variance. The main utility of threshold models is further specified test of threshold nonlinearity, which is the base for comprehensively defined procedure of determining the type of model, including an estimate of all its parameters. At the end, the procedures introduced in this text are demonstrated using simulated and real data. Powered by TCPDF (www.tcpdf.org)
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Treshold models for financial time series
Stacho, Michal ; Zichová, Jitka (advisor) ; Prášková, Zuzana (referee)
In modeling of financial time series is widely accepted ARCH model with conditional heteroscedasticity, but this model is not able to operate with other non-linearities such as leverage or asymmetry (the volume of revenue is different when the yield is positive or negative). Therefore, we work in this thesis with threshold models TAR, TARCH and DTARCH. These models have piecewise linear conditional mean and DTARCH model even piecewise linear conditional variance. The main utility of threshold models is further specified test of threshold nonlinearity, which is the base for comprehensively defined procedure of determining the type of model, including an estimate of all its parameters. At the end, the procedures introduced in this text are demonstrated using simulated and real data. Powered by TCPDF (www.tcpdf.org)
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Financial functions in Mathematica
Stacho, Michal ; Hurt, Jan (advisor) ; Zichová, Jitka (referee)
The Mathematica software contains a fully integrated environment for a large number of instruments used in classical and modern finance. One of it`s basic capabilities is an advanced evaluation of the time value of money, then pricing of financial instruments such as bonds or financial derivatives and finally financial mapping with advanced library of technical indicators. Mathematica also provides immediate access to a large field of financial and economic data through external servers and offers financial tools for working with external data. This thesis deals with descriptions of the functions implemented in Mathematica, explaining the principle of their operation and application to real data.
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