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Browsing by Subject "option pricing"

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  • thumbnail.journal.alt
    Item type:Article, Access status: Open Access ,
    Ekonomiczna efektywność przedsięwzięć inwestycyjnych w energetyce opartej na zasadach rynkowych w warunkach transformacji sektorowej
    (Wydawnictwa AGH, 2025) Dzieża, Jerzy; Lorenc, Aleksander; Rydlewski, Jerzy; Serwatka, Anna; Skomudek, Waldemar
    The overriding development goal of energy companies operating in a competitive energy market is to strive to increase their value through the implementation of investment plans that are developmental, economically efficient and guarantee the safety of the power system. Considering investments in this way determines that in the next decade, mainly projects with a high degree of innovation and streamlining almost all business processes should be implemented. This also means that investment decisions should be based on a thorough and reliable assessment of their profitability and effectiveness, and should also take into account the time value of money, risk treated as an objectively existing possibility of failure in achieving the intended investment goals and the real life cycle of the investment. For this specific area of issues covered by the investment implementation process, the chapter collects and describes the spectrum of knowledge in the field of determining the energy efficiency of investment projects, defining optimal models for their financing, shaping the regulated revenue of electricity network operators and monitoring the results obtained in relation to the investment outlays incurred, applying innovative methods of agent modelling and graph theory, as well as multidimensional analysis methods and game theory methods for the valuation of energy investment projects.
  • thumbnail.journal.alt
    Item type:Thesis, Access status: Restricted ,
    Kontrola najgorszego wyniku majątku inwestora
    (Data obrony: 2010-04-15) Nowak, Anna
    Wydział Matematyki Stosowanej
  • thumbnail.journal.alt
    Item type:Article, Access status: Open Access ,
    Lower Precision calculation for option pricing
    (Wydawnictwa AGH, 2017) Ścibisz-Mordelska, Katarzyna; Nielek, Radosław
    The problem of options pricing is one of the most critical issues and fundamental building blocks in mathematical finance. The research includes deployment of lower precision type in two options pricing algorithms: Black-Scholes and Monte Carlo simulation. We make an assumption that the shorter the number used for calculations is (in bits), the more operations we are able to perform in the same time. The results are examined by a comparison to the outputs of single and double precision types. The major goal of the study is to indicate whether the lower precision types can be used in financial mathematics. The findings indicate that Black-Scholes provided more precise outputs than the basic implementation of Monte Carlo simulation. Modification of the Monte Carlo algorithm is also proposed. The research shows the limitations and opportunities of the lower precision type usage. In order to benefit from the application in terms of the time of calculation improved algorithms can be implemented on GPU or FPGA. We conclude that under particular restrictions the lower precision calculation can be used in mathematical finance.
  • thumbnail.journal.alt
    Item type:Thesis, Access status: Restricted ,
    Model Blacka-Scholesa z opóźnieniem czasowym
    (Data obrony: 2017-10-25) Kubisztal, Paulina
    Wydział Matematyki Stosowanej
  • thumbnail.journal.alt
    Item type:Thesis, Access status: Restricted ,
    Numerycznie stabilna dyskretyzacja dwumianowa dla wyceny obligacji i instrumentów pochodnych
    (Data obrony: 2015-10-27) Szwed, Elwira
    Wydział Matematyki Stosowanej
  • thumbnail.journal.alt
    Item type:Thesis, Access status: Restricted ,
    Opcje ze stochastycznymi stopami procentowymi
    (Data obrony: 2016-06-27) Michałek, Agnieszka
    Wydział Matematyki Stosowanej
  • thumbnail.journal.alt
    Item type:Thesis, Access status: Restricted ,
    Wycena i zabezpieczenie opcji granicznych
    (Data obrony: 2017-07-13) Tyniec, Alicja
    Wydział Matematyki Stosowanej
  • thumbnail.journal.alt
    Item type:Thesis, Access status: Restricted ,
    Wycena opcji przy użyciu aproksymacji drzewami
    (Data obrony: 2012-06-27) Grzesiek, Monika
    Wydział Matematyki Stosowanej
  • thumbnail.journal.alt
    Item type:Thesis, Access status: Restricted ,
    Wycena wybranych opcji w modelu dyfuzji ze skokami o dwustronnym rozkładzie wykładniczym
    (Data obrony: 2013-01-14) Drzał, Robert
    Wydział Matematyki Stosowanej
  • thumbnail.journal.alt
    Item type:Thesis, Access status: Restricted ,
    Zastosowanie transformaty Fouriera w wycenie opcji
    (Data obrony: 2017-07-13) Domin, Mateusz
    Wydział Matematyki Stosowanej