Essays about: "André Berglund"

Found 3 essays containing the words André Berglund.

1. 1. Numerical Simulations of Linear Stochastic Oscillators : driven by Wiener and Poisson processes

   University essay from Umeå universitet/Institutionen för matematik och matematisk statistik

   Author : André Berglund; [2017]
   Keywords : ;

   Abstract : The main component of this essay is the numerical analysis of stochastic differential equations driven by Wiener and Poisson processes. In order to do this, we focus on two model problems, the geometric Brownian motion and the linear stochastic oscillator, studied in the literature for stochastic differential equations only driven by a Wiener process. READ MORE

3. 2. On the risk relation between Economic Value of Equity and Net Interest Income

   University essay from KTH/Matematisk statistik

   Author : André Berglund; Carl Svensson; [2017]
   Keywords : ;

   Abstract : The Basel Committee has proposed a new Pillar 2 regulatory framework for evaluating the interest rate risk of a bank's banking book appropriately called Interest Rate Risk in the Banking Book. The framework requires a bank to use and report two different interest rate risk measures: Economic Value of Equity (EVE) risk and Net Interest Income (NII) risk. READ MORE

4. 3. Evaluating ∫0∞f(x)dx and ∫ab f(x)dx using residue calculus

   University essay from Umeå universitet/Institutionen för matematik och matematisk statistik

   Author : André Berglund; [2014]
   Keywords : residue; sum; residues; integration; finite; distance; positive; real; line; complex; anaysis;

   Abstract : In this essay we use complex analysis, in particular modern residue calculus, to compute certain Riemann integrals. ... READ MORE