Essays about: "Brownian motion"

Showing result 21 - 25 of 82 essays containing the words Brownian motion.

1. 21. Accuracy of Risk Measures For Black Swan Events

   University essay from KTH/Matematisk statistik

   Author : Viktor Barry; [2021]
   Keywords : Black swans; value at risk; conditional value at risk; monte carlo simulation; financial mathematics; risk analysis; financial risk; Black Swan; value at risk; conditional value at risk; monte carlo-simulering; finansiell matematik; riskanalys; finansiell risk;

   Abstract : This project aims to analyze the risk measures Value-at-Risk and Conditional-Value-at-Risk for three stock portfolios with the purpose of evaluating each method's accuracy in modelling Black Swan events. This is achieved by utilizing a parametric approach in the form of a modified (C)VaR with a Cornish-Fisher expansion, a historic approach with a time series spanning ten years and a Markov Monte Carlo simulation modeled with a Brownian motion. READ MORE

3. 22. Brownian Motion and the Dirichlet Problem

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

   Author : Anton Palets; [2021]
   Keywords : Brownian motion; Dirichlet; Dirichlet problem; Harmonic function; Strong Markov property; Stopping time; Cone condition; Brownian motion construction; Blumenthal; Mathematics and Statistics;

   Abstract : In this Bachelor's thesis, a solution to the Dirichlet problem using Brownian motion is given. Brownian motion is constructed using Kolmogorov's existence and continuity theorems. Blumenthal's zero-one law and the strong Markov property in various formulations are proven. READ MORE

4. 23. Optimization of Subscription Lines of Credit in Private Equity : An extensive analysis containing several Investment-, Bridge Facility- and Installment Strategies using Monte Carlo Simulations

   University essay from Umeå universitet/Institutionen för matematik och matematisk statistik

   Author : Julia Larsson; Tyra Strandberg; [2021]
   Keywords : ;

   Abstract : In recent years the use of subscription lines of credit has increased exponentially, from $86.1 millions (2014) to $5.3 billions (2018). The rapid growth of the phe- nomenon of private equity funds using subscription lines of credit when acquiring companies (instead of directly making capital drawdowns from investors), has poor academic coverage. READ MORE

5. 24. Mathematical modelling andsimulation for tumour growth andangiogenesis

   University essay from Karlstads universitet/Institutionen för matematik och datavetenskap (from 2013)

   Author : René Edgardo Luna; [2021]
   Keywords : Multiscale modelling; tumor growth; angiogenesis; agent-based model; variance reduction;

   Abstract : Cancer is a complex illness that affects millions of people every year. Amongst the most frequently encountered variants of this illness are solid tumours. The growth of solid tumours depends on a large number of factors such as oxygen concentration, cell reproduction, cell movement, cell death, and vascular environment. READ MORE

6. 25. Transport of non-spherical particles in pipeflow with suction

   University essay from Luleå tekniska universitet/Institutionen för system- och rymdteknik

   Author : Emil Wångby; [2020]
   Keywords : Brownian motion; Non-spherical particles; Pipe flow;

   Abstract : The interest of how small non-spherical particles transport behaviour when transported in pipe-flow is of large interest in a variety applications. This kind of theory have been used when studying composite manufacturing and how particles behaves in the human lungs. READ MORE