Srovnání vybraných metod pro oceňování opcí pomocí C++

Since the Black-Scholes model was born in the 1970s, option pricing has always been an important research object in the mathematical and financial community. Its related research on option pricing has extensive and far-reaching effects on the entire capital market. However, general Black-Scholes partial differential equations cannot solve American options that can be exercised in advance. Therefore, more and more researchers use the least squares Monte Carlo simulation, binomial tree method and finite difference method to calculate the option price. This paper studies the pricing of options using Black-Scholes, Monte Carlo simulation，least square Monte Carlo simulation, binomial tree method, and finite difference method through the risk-neutral measure of backward stochastic differential equations. Through these methods, the numerical simulation of option pricing under backward stochastic differential equations is given, and some valuable results are obtained. In this paper, the meaning of the model parameters is explained before the empirical research is pushed to the Black-Scholes formula. After downloading some data from the Hong Kong Stock Exchange and the Chicago Futures Exchange, various methods were used to conduct price simulations to obtain the option values under different parameters. The results show that the option prices calculated in the complete market are slightly different from those in the incomplete market but apparently tend to be consistent and have a good degree of fit. At the end of the article, the difference between theoretical value and market value is explained.Since the Black-Scholes model was born in the 1970s, option pricing has always been an important research object in the mathematical and financial community. Its related research on option pricing has extensive and far-reaching effects on the entire capital market. However, general Black-Scholes partial differential equations cannot solve American options that can be exercised in advance. Therefore, more and more researchers use the least squares Monte Carlo simulation, binomial tree method and finite difference method to calculate the option price. This paper studies the pricing of options using Black-Scholes, Monte Carlo simulation，least square Monte Carlo simulation, binomial tree method, and finite difference method through the risk-neutral measure of backward stochastic differential equations. Through these methods, the numerical simulation of option pricing under backward stochastic differential equations is given, and some valuable results are obtained. In this paper, the meaning of the model parameters is explained before the empirical research is pushed to the Black-Scholes formula. After downloading some data from the Hong Kong Stock Exchange and the Chicago Futures Exchange, various methods were used to conduct price simulations to obtain the option values under different parameters. The results show that the option prices calculated in the complete market are slightly different from those in the incomplete market but apparently tend to be consistent and have a good degree of fit. At the end of the article, the difference between theoretical value and market value is explained.154 - Katedra financívýborn

Zhodnocení finanční situace společnosti Lockheed Martin Space Systems

Import 02/11/2016This thesis will focus on the financial situation assessment of the Lockheed Martin Space System Company and use the data from the annual report of the company to calculate and to analysis. In general, we divide this these into six chapter. The first chapter is the introduction of main goal of this thesis. The chapter two will give a statement of the financial analysis methods of the Lockheed Martin Space System Company which used in this thesis. This chapter will list the methods and the formula and give briefly explanation about how to use this formula and what the meaning of its result. The chapter three will introduce the history and present financial situation of the Lockheed Martin Space System Company and the condition of the company for example the main product of the company, which industry the company belongs to, the status of the Lockheed Martin Space System Company in this industry, etc. In the chapter four we will use the financial analysis method to analyze the financial condition of the Lockheed Martin Space System Company in detail. The chapter five, we get the result of the chapter four and then we use the result to get the prospects of the Lockheed Martin Space System Company in the next chapter. The chapter six we get the conclusion of the financial situation of the Lockheed Martin Space System Company, this conclusion will help the investor determine whether they invest their money on this company’s stock or bonds, also help the leadership of the company find the problem of the company and to improve it. In this chapter, we will use the vertical common size analysis and the horizontal common size analysis to analysis the balance sheet, the income statement and the cash flow of the Lockheed Martin Space System Company from 2009 to 2014.This thesis will focus on the financial situation assessment of the Lockheed Martin Space System Company and use the data from the annual report of the company to calculate and to analysis. In general, we divide this these into six chapter. The first chapter is the introduction of main goal of this thesis. The chapter two will give a statement of the financial analysis methods of the Lockheed Martin Space System Company which used in this thesis. This chapter will list the methods and the formula and give briefly explanation about how to use this formula and what the meaning of its result. The chapter three will introduce the history and present financial situation of the Lockheed Martin Space System Company and the condition of the company for example the main product of the company, which industry the company belongs to, the status of the Lockheed Martin Space System Company in this industry, etc. In the chapter four we will use the financial analysis method to analyze the financial condition of the Lockheed Martin Space System Company in detail. The chapter five, we get the result of the chapter four and then we use the result to get the prospects of the Lockheed Martin Space System Company in the next chapter. The chapter six we get the conclusion of the financial situation of the Lockheed Martin Space System Company, this conclusion will help the investor determine whether they invest their money on this company’s stock or bonds, also help the leadership of the company find the problem of the company and to improve it. In this chapter, we will use the vertical common size analysis and the horizontal common size analysis to analysis the balance sheet, the income statement and the cash flow of the Lockheed Martin Space System Company from 2009 to 2014.154 - Katedra financídobř

Comparison of linear and nonlinear active disturbance rejection control method for hypersonic vehicle

Near space hypersonic vehicles have features of strong coupling, nonlinearity and acute changes in aerodynamic parameters, which are challenging for the controller design. Active disturbance rejection control (ADRC) method does not depend on the accurate system model and has strong robustness against disturbances. This paper discusses the differences between the fractional-order PID (FOPIλDμ) ADRC method and the FOPIλDμ LADRC method for hypersonic vehicles. The FOPIλDμ ADRC controller in this paper consists of a tracking-differentiator (TD), a FOPIλDμ controller and an extended state observer (ESO).The FOPIλDμ LADRC controller consists of the same TD and FOPIλDμ controller with the FOPIλDμ ADRC controller and a linear extended state observer (LESO) instead of ESO. The stability of LESO and the FOPIλDμ LADRC method is detailed analyzed. Simulation results show that the FOPIλDμ ADRC method can make the hypersonic vehicle nonlinear model track desired nominal signals faster and has stronger robustness against external environmental disturbances than the FOPIλDμ LADRC method

Human African trypanosomiasis : the current situation in endemic regions and the risks for non-endemic regions from imported cases

Human African trypanosomiasis (HAT) is caused by Trypanosoma brucei gambiense and T. b. rhodesiense and caused devastating epidemics during the 20th century. Due to effective control programs implemented in the last two decades, the number of reported cases has fallen to a historically low level. Although fewer than 977 cases were reported in 2018 in endemic countries, HAT is still a public health problem in endemic regions until it is completely eliminated. In addition, almost 150 confirmed HAT cases were reported in non-endemic countries in the last three decades. The majority of non-endemic HAT cases were reported in Europe, United States and South Africa, due to historical alliances, economic links or geographic proximity to disease endemic countries. Furthermore, with the implementation of the “Belt and Road” project, sporadic imported HAT cases have been reported in China as a warning sign of tropical diseases prevention. In this paper, we explore and interpret the data on HAT incidence and find no positive correlation between the number of HAT cases from endemic and non-endemic countries.This data will provide useful information for better understanding the imported cases of HAT globally in the post-elimination phase