Essays about: "MonteCarlo"

Showing result 6 - 10 of 10 essays containing the word MonteCarlo.

1. 6. Strategies for High Frequency FX Trading - The choice of bucket size

   University essay from Lunds universitet/Matematisk statistik

   Author : Malin Lunsjö; Malin Riddarström; [2017]
   Keywords : Highfrequency; FXtrading; Shiftedgeometricdistribution; MonteCarlo; Time Series Analysis; EWMA; Bucket size; TWAP.; Mathematics and Statistics;

   Abstract : This thesis aims at developing and evaluating a model for high frequency foreign exchange data, that beats the TWAP benchmark the majority of the time. This is done by dividing the total order time into smaller time buckets and trading a smaller quantity of the total order volume in each bucket. READ MORE

3. 7. Pricing of European and Asian options with Monte Carlo simulations : Variance reduction and low-discrepancy techniques

   University essay from Umeå universitet/Nationalekonomi

   Author : Alexander Ramström; [2017]
   Keywords : ;

   Abstract : This thesis evaluates different models accuracy of option pricing by MonteCarlo simulations when changing parameter values and the number of simulations. By simulating the asset movements thousands of times and use well established theory one can approximate the price of one-year financialoptions and for the European options also compare them to the price from Black-Scholes exact pricing formula. READ MORE

4. 8. Monte Carlo Simulations for Chemical Systems

   University essay from Linköpings universitet/Matematiska institutionen; Linköpings universitet/Tekniska fakulteten

   Author : Karl Rönnby; [2016]
   Keywords : Monte Carlo; Markov chain Monte Carlo; Metropolis algorith; Kinetic Monte Carlo; ilicon Carbide.;

   Abstract : This thesis investigates dierent types of Monte Carlo estimators for use in computationof chemical system, mainly to be used in calculating surface growthand evolution of SiC. Monte Carlo methods are a class of algorithms using randomsampling to numerical solve problems and are used in many cases. READ MORE

5. 9. Causal effects in mediation analysiswith limited-dependent variables

   University essay from Uppsala universitet/Statistiska institutionen

   Author : Mårten Schultzberg; [2016]
   Keywords : counterfactuals; two-part model; potential outcome;

   Abstract : Mediation is used to separate direct and indirect effects of an exposure variable on anoutcome variable. In this thesis, a mediation model is extended to account for censoredmediator and outcome variable. The two-part framework is used to account for thecensoring. The counterfactual based causal effects of this model are derived. READ MORE

6. 10. Low Power Current Mode Delta-SigmaADC using Ring Oscillator basedQuantizer

   University essay from KTH/Skolan för informations- och kommunikationsteknik (ICT)

   Author : Ibrahim Kazi; [2013]
   Keywords : ;

   Abstract : Low power ADCs have wide range of applications, from battery operated systems like biomedical devices to on chip power measurement systems. A more digital implementation is also desirable to take advantage of the technology scaling in digital CMOS technologies. READ MORE