Essays about: "Euler-Maruyama"
Showing result 1 - 5 of 8 essays containing the word Euler-Maruyama.
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1. Exploring backward stochastic differential equations and deep learning for high-dimensional partial differential equations and European option pricing
University essay from Mälardalens universitet/Akademin för utbildning, kultur och kommunikationAbstract : Many phenomena in our world can be described as differential equations in high dimensions. However, they are notoriously challenging to solve numerically due to the exponential growth in computational cost with increasing dimensions. READ MORE
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2. Stochastic Runge–Kutta Lawson Schemes for European and Asian Call Options Under the Heston Model
University essay from Mälardalens universitet/Akademin för utbildning, kultur och kommunikationAbstract : This thesis investigated Stochastic Runge–Kutta Lawson (SRKL) schemes and their application to the Heston model. Two distinct SRKL discretization methods were used to simulate a single asset’s dynamics under the Heston model, notably the Euler–Maruyama and Midpoint schemes. READ MORE
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3. Pricing Put Options with Multilevel Monte Carlo Simulation
University essay from Mälardalens högskola/Akademin för utbildning, kultur och kommunikationAbstract : Monte Carlo path simulations are common in mathematical and computational finance as a way of estimating the expected values of a quantity such as a European put option, which is functional to the solution of a stochastic differential equation (SDE). The computational complexity of the standard Monte Carlo (MC) method grows quite large quickly, so in this thesis we focus on the Multilevel Monte Carlo (MLMC) method by Giles, which uses multigrid ideas to reduce the computational complexity. READ MORE
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4. Transport of non-spherical particles in pipeflow with suction
University essay from Luleå tekniska universitet/Institutionen för system- och rymdteknikAbstract : 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
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5. Analytic Approximation of Transition Probabilities
University essay from Lunds universitet/Matematisk statistikAbstract : A transition probability is essentially a likelihood of ’something random’ transitioning from one state of being to another. Though, more formally, for all intents and purposes, the ’something random’ is a sequence of random events, which is a stochastic process. There are many stochastic processes that are valuable to understand. READ MORE
