Essays about: "Approximation of Integrals"

Found 3 essays containing the words Approximation of Integrals.

  1. 1. Squaring VEGAS -- Multidimensional Integration Using 2D Correlations

    University essay from Lunds universitet/Teoretisk partikelfysik - Geonomgår omorganisation

    Author : Philip Siemund; [2021]
    Keywords : statistics; numerical integration; Monte Carlo integration; VEGAS; Physics and Astronomy;

    Abstract : Multidimensional integrals are used in many areas of physics; electrodynamics, quantum mechanics and statistical physics, to name a few. Many integrals can not be solved analytically, but can instead be approximated numerically. VEGAS is a Monte Carlo integration algorithm, which specializes it in approximating multidimensional integrals. READ MORE

  3. 2. Advanced methods for pricing financial derivatives in a market modelwith two stochastic volatilities

    University essay from Mälardalens högskola/Akademin för utbildning, kultur och kommunikation

    Author : Victor Folajin; [2021]
    Keywords : Financial derivative; market model; cubature method; stochastic Taylor expansion; Stratonovich integral;

    Abstract : This thesis is on an advanced method for pricing financial derivatives in a market model,which comprises two stochastic volatilities. Financial derivatives are instruments whosethat is related to any financial asset. Underlying assets in derivatives are mostly financialinstruments; such as security, currency or a commodity. READ MORE

  4. 3. Monte Carlo Integration: A Comparison to Numerical Quadrature

    University essay from Lunds universitet/Matematik (naturvetenskapliga fakulteten); Lunds universitet/Matematikcentrum

    Author : Mirjam Karlsson-Müller; [2021]
    Keywords : Monte Carlo Methods; Approximation of Integrals; Numerical Quadrature; Curse of Dimensionality; Integrals; Monte Carlo; Mathematics and Statistics;

    Abstract : Integrals are present everywhere in science, and their computation an emphasis in education. When methods of exact computation fail, a great variety of methods of approximation can step in. This project is interested in the Monte Carlo integration methods, an approach, where the integral is approximated based on the Law of Large Numbers. READ MORE