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dc.contributor.author | Kazbek, Rakhymzhan![]() |
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dc.date.accessioned | 2020-05-13T05:45:17Z | |
dc.date.available | 2020-05-13T05:45:17Z | |
dc.date.issued | 2020-05-07 | |
dc.identifier.citation | Kazbek, R. (2020). Pricing Convertible Bonds by Finite Element Method (Master’s thesis, Nazarbayev University, Nur-Sultan, Kazakhstan). Retrieved from hhttps://nur.nu.edu.kz/handle/123456789/4682 | en_US |
dc.identifier.uri | http://nur.nu.edu.kz/handle/123456789/4682 | |
dc.description.abstract | In this thesis, the proposed problem is to solve the system of two-coupled Black-Scholes equations, which is the so called TF (Tsiveriotis and Fernandes) model [16], for pricing the convertible bonds by the finite element method. Firstly, the derivation of the TF model is reviewed and introduced based on original work of Tsiveriotis and Fernandes [16]. Standard transformations are applied to the Black-Scholes equations to obtain a systemoftwoparabolicequations. Afterthetransformations, thefiniteelementmethod is introduced and is applied to solve the new system. The well-posedness of the method is discussed and numerical implementation of the schemes are presented. Finally, the some numerical examples by the finite element method are obtained. | en_US |
dc.language.iso | en | en_US |
dc.publisher | Nazarbayev University School of Sciences and Humanities | en_US |
dc.rights | Attribution-NonCommercial-ShareAlike 3.0 United States | * |
dc.rights.uri | http://creativecommons.org/licenses/by-nc-sa/3.0/us/ | * |
dc.subject | Research Subject Categories::MATHEMATICS | en_US |
dc.title | Pricing Convertible Bonds by Finite Element Method | en_US |
dc.type | Master's thesis | en_US |
workflow.import.source | science |
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