Essays about: "Jérémy Auffredic"

Found 2 essays containing the words Jérémy Auffredic.

  1. 1. Financial Models With Transaction Costs

    University essay from Uppsala universitet/Sannolikhetsteori och kombinatorik

    Author : Jérémy Auffredic; [2022]
    Keywords : ;

    Abstract : .... READ MORE

  3. 2. A second order Runge–Kutta method for the Gatheral model

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

    Author : Jérémy Auffredic; [2020]
    Keywords : Stochastic differential equation; Runge–Kutta method; Gatheral model; Monte-Carlo simulation; weak second order.;

    Abstract : In this thesis, our research focus on a weak second order stochastic Runge–Kutta method applied to a system of stochastic differential equations known as the Gatheral Model. We approximate numerical solutions to this system and investigate the rate of convergence of our method. READ MORE