Essays about: "Parameter Calibration"

Showing result 16 - 20 of 88 essays containing the words Parameter Calibration.

1. 16. LEAST -SQUARE MONTE CARLO BASED OPTION PRICING OF EUROPEAN AND BERMUDAN STOCK INDEX OPTIONS

   University essay from Lunds universitet/Matematisk statistik

   Author : Oscar Brink Bolin; Joel Ahnvik; [2022]
   Keywords : Option; Monte Carlo *; Least-square *; Black-Scholes; Merton; Heston; Bates; Mathematics and Statistics;

   Abstract : On the financial markets, there are a large number of financial instruments. Two of these instruments is the European and Bermudan option, where the Bermudan option can be seen as a discrete version of the American option. Meaning, if one can price the Bermudan option one can also estimate the price of an American option. READ MORE

3. 17. Pricing Currency Options with Bates Model: Analytical Tractability versus Empirical Misspeci cation

   University essay from Göteborgs universitet/Graduate School

   Author : Oscar Thelander; [2021-02-02]
   Keywords : ;

   Abstract : In this thesis I complement the results from Bates (1996) wherein a Stochastic Volatility Jump-Di usion model for pricing foreign currency options is introduced and evaluated against USD/DM foreign exchange options. I complement Bates results with two di erent calibration methodologies, nonlinear least-squares and the built-in MATLAB function fmincon, using the same dataset that was used in Bates (1996). READ MORE

4. 18. Calibration in Urban Building Energy Modeling

   University essay from Uppsala universitet/Institutionen för informationsteknologi

   Author : Naeim Rashidfarokhi; [2021]
   Keywords : ;

   Abstract : This thesis work tries to study the annual calibration process for building performance simulations. The bottom-up modelling is a tool to predict energy consumption in Urban Building Energy Modeling (UBEM) which is a common approach to find the most appropriate retrofitting strategies or to monitor energy use for a group of buildings (an archetype), a neighbourhood or a city. READ MORE

5. 19. A Nonlinear Reservoir Model to Simulate Blue-Green Stormwater Systems – An Application to Augustenborg Catchment in Malmö, Sweden

   University essay from Lunds universitet/Kemiteknik (CI)

   Author : Emmanuel Ekwu; [2021]
   Keywords : Blue-green stormwater control; Nonlinear reservoir routing model; Stormwater; Modelling; Calibration; Water engineering; Technology and Engineering;

   Abstract : The increasingly rapid urbanization has led to vast impervious surface areas in the urban environment. This situation of impervious surfaces has increased the surface temperature and interrupted the natural water circle, which has negatively impacted the urban environment. READ MORE

6. 20. Material characterization of long-term stress relaxation in a semi-crystalline polymer material : An experimental and numerical study

   University essay from Blekinge Tekniska Högskola

   Author : Jakob Görtz; [2021]
   Keywords : Abaqus; MCalibration; PRF; HDPE; Stress relaxation; Long-term testing; Theoretical expressions; Material calibration;

   Abstract : As the plastic and packaging industry is looking to increase the longevity of plastic products as well as recycling used material, there is a need to understand how material properties respond and change during long periods of mechanical loading. Physical tensile experiments on thin plant-based High-Density Polyethylene (HDPE) are conducted with the intent of capturing relaxation behavior from a short-term (1-3 hours) and long-term (29-56 days) perspective. READ MORE