Essays about: "C# optimization monte carlo"

Found 3 essays containing the words C# optimization monte carlo.

  1. 1. Modern Credit Value Adjustment

    University essay from KTH/Matematik (Avd.)

    Author : Wojciech Ratusznik; [2021]
    Keywords : Credit Value Adjustment; Monte Carlo simulations; Artificial neural networks; Financial risk management; Stochastic calculus; Kreditvärdejustering; Monte Carlo simuleringar; Artificiella neurala nätverk; Riskvärdering; Stokastisk analys;

    Abstract : Counterparty risk calculations have gained importance after the latest financial crisis. The bankruptcy of Lehman Brothers showed that even large financial institutiones face a risk of default. Hence, it is important to measure the risk of default for all the contracts written between financial institutions. READ MORE

  3. 2. Portfolio Optimization with Catastrophe Bonds

    University essay from Handelshögskolan i Stockholm/Institutionen för finansiell ekonomi

    Author : Tianfang Zhang; [2019]
    Keywords : Catastrophe bonds; Poisson processes; Portfolio theory; Value-at-risk; Conditional value-at-risk;

    Abstract : This thesis investigates properties of the returns of catastrophe bonds and their risk diversification potential in portfolios. Ideas from existing literature, such as modeling the evolution of the outstanding principal as a compound Poisson process, are extended to take into account the times of occurrence of the loss events, which are important for the returns of catastrophe bonds with certain types of payment structure. READ MORE

  4. 3. Optimization of Monte Carlo simulations

    University essay from Institutionen för informationsteknologi

    Author : Henrik Bryskhe; [2009]
    Keywords : monte carlo; simulation; optimization;

    Abstract : This thesis considers several different techniques for optimizing Monte Carlo simulations. The Monte Carlo system used is Penelope but most of the techniques are applicable to other systems. The two mayor techniques are the usage of the graphics card to do geometry calculations, and raytracing. READ MORE