Essays about: "algorithmic differentiation"

Showing result 1 - 5 of 6 essays containing the words algorithmic differentiation.

  1. 1. Silent Followers! : A Qualitative Study on the Factors Behind Low Comment Engagement Among Luxury Brand Followers on Instagram

    University essay from Linnéuniversitetet/Institutionen för marknadsföring och turismvetenskap (MTS)

    Author : Lara Kayyal; Shahed Karkoor; [2023]
    Keywords : Instagram; Follower Engagement; Algorithm; Social media; Luxury brands.;

    Abstract : This research explores the reasons why followers of luxury brand Instagram accounts engage less frequently through commenting despite having a large number of followers. The study addresses the research question: "Why do Instagram followers of the luxury brand engage less through comments despite having a large number of followers?". READ MORE

  3. 2. Consistent Projection of the Balance Sheet : A Holistic Approach to Modelling Interest Rate Risk in the Banking Book

    University essay from KTH/Matematik (Avd.)

    Author : Gabriella Hulström; [2021]
    Keywords : Adjoint algorithmic differentiation; Economic Value of Equity; Interest Rate Risk; Net Interest Income; Risk Management; Adjoint algoritmisk derivering; Ekonomiskt Värde av Eget Kapital; Ränterisk; Räntenetto; Riskhantering;

    Abstract : When modelling risk in the banking book, a simple capital level approach can fail to capture the interactions between different risk measures or risk classes since they are modelled separately. In this thesis we propose a model for projecting the book value of a run-off balance sheet portfolio of fixed and variable rate loans, while also calculating net interest income, economic value of equity, capital requirement and capital cost within the same model. READ MORE

  4. 3. Financial Applications of Algorithmic Differentiation

    University essay from Uppsala universitet/Tillämpad matematik och statistik

    Author : Chengbo Wang; [2020]
    Keywords : ;

    Abstract : .... READ MORE

  5. 4. Calibrating the Hull-White model using Adjoint Algorithmic Differentiation

    University essay from KTH/Matematisk statistik

    Author : Simon Carmelid; [2017]
    Keywords : ;

    Abstract : This thesis includes a brief introduction to Adjoint Algorithmic Differentiation (AAD), accompanied by numerical examples, step-by-step explanations and runtime comparisons to a finite difference method. In order to show the applicability of AAD in a stochastic setting, it is also applied in the calculation of the arbitrage free price and partial derivatives of a European call option, where the underlying stock has Geometric Brownian motion dynamics. READ MORE

  6. 5. Thesis - Optimizing Smooth Local Volatility Surfaces with Power Utility Functions

    University essay from Linköpings universitet/Produktionsekonomi; Linköpings universitet/Tekniska fakulteten

    Author : Gustav Sällberg; Pontus Söderbäck; [2015]
    Keywords : local volatility surface; LVS; optimization; roughness; smooth; risk neutral pricing; optimal growth; pricing error; automatic differentiation; algorithmic differentiation;

    Abstract : The master thesis is focused on how a local volatility surfaces can be extracted by optimization with respectto smoothness and price error. The pricing is based on utility based pricing, and developed to be set in arisk neutral pricing setting. READ MORE