Essays about: "Brownian motion"

Showing result 16 - 20 of 82 essays containing the words Brownian motion.

  1. 16. Option Modelling by Deep Learning

    University essay from Göteborgs universitet/Institutionen för nationalekonomi med statistik

    Author : Niclas Klausson; Victor Tisell; [2021-02-10]
    Keywords : Deep learning; deep hedging; generative adversial networks; arbitrage pricing;

    Abstract : In this thesis we aim to provide a fully data driven approach for modelling financial derivatives, exclusively using deep learning. In order for a derivatives model to be plausible, it should adhere to the principle of no-arbitrage which has profound consequences on both pricing and risk management. READ MORE

  3. 17. Simultaneous Bayesian parameter estimation and particle-tracking including calculation of mis-linking probabilities

    University essay from Lunds universitet/Institutionen för astronomi och teoretisk fysik - Genomgår omorganisation

    Author : Lennart Golks; [2021]
    Keywords : Physics and Astronomy;

    Abstract : Since 1994 super-resolution microscopes enable us to visualize processes in the nanome- ter regime where bio-molecules work. Consequently, there is a great need for methods analyzing the generated data to transfer the motion of molecules, seen as white dots, into trajectories. READ MORE

  4. 18. Pricing in the Heston Model and Its Rough Variation

    University essay from KTH/Matematik (Avd.)

    Author : Otto Sellerstam; [2021]
    Keywords : ;

    Abstract : This thesis presents the theoretical material needed to price European call options in the classical and rough version of the Heston model, as well as how to do this in practice from a computational perspective. The theoretical material includes an introduction to measure theory, which is then used to build the foundations of probability theory and stochastic calculus, together with more novel topics such as fractional calculus and a short exposition of the fractional Brownian motion. READ MORE

  5. 19. 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

  6. 20. Sequential testing of the sign of the drift of a Brownian motion

    University essay from Uppsala universitet/Tillämpad matematik och statistik

    Author : Ashkan Karimidamavandi; [2021]
    Keywords : ;

    Abstract : .... READ MORE