Essays about: "Least Squares Monte-Carlo"

Showing result 1 - 5 of 16 essays containing the words Least Squares Monte-Carlo.

  1. 1. Fisher Inference and Local Average Treatment Effect: A Simulation study

    University essay from Uppsala universitet/Statistiska institutionen

    Author : Iveta Tvaranaviciute; [2020]
    Keywords : Randomized experiments; noncompliance; two-stage least squares; weak instruments; Fisher Randomization Test; Neyman-Pearson; statistical power;

    Abstract : This thesis studies inference to the complier treatment effect denoted LATE. The standard approach is to base the inference on the two-stage least squares (2SLS) estimator and asymptotic Neyman inference, i.e., the t-test. READ MORE

  2. 2. Component-Based Transfer Path Analysis and Hybrid Substructuring at high frequencies : A treatise on error modelling in Transfer Path Analysis

    University essay from KTH/Maskinkonstruktion (Avd.)

    Author : Harikrishnan Venugopal; [2020]
    Keywords : Dynamic Substructuring; Error modelling; Transfer Path Analysis; Uncertainty Propagation; Dynamisk substrukturering; Feluppskattning; Överföringsanalys; Osäkerhetspropagering;

    Abstract : The field of modal testing and analysis is currently facing a surge of interest in error modelling. Several errors which occur during testing campaigns are modelled analytically or numerically and propagated to various system coupling and interface reduction routines effectively. READ MORE

  3. 3. Efficient Monte Carlo Simulation for Counterparty Credit Risk Modeling

    University essay from KTH/Matematisk statistik

    Author : Sam Johansson; [2019]
    Keywords : CCR; OTC derivatives; European option; Bermudan option; CVA; jump-diffusion model; stochastic intensity model; Monte Carlo; variance reduction; importance sampling; least squares Monte Carlo; CCR; OTC-derivat; europeisk option; Bermuda-option; CVA; jump-diffusion-modell; stokastisk intensitetsmodell; Monte Carlo; variansreduktion; importance sampling; least squares Monte Carlo;

    Abstract : In this paper, Monte Carlo simulation for CCR (Counterparty Credit Risk) modeling is investigated. A jump-diffusion model, Bates' model, is used to describe the price process of an asset, and the counterparty default probability is described by a stochastic intensity model with constant intensity. READ MORE

  4. 4. Asset and Liability Management: Optimization using Least-Squares Monte Carlo

    University essay from Lunds universitet/Matematisk statistik

    Author : Sanna Brandel; [2018]
    Keywords : Asset and liability management; Solvency capital requirement; least-squares Monte Carlo; nested Monte Carlo simulation; risk-adjusted net asset value; mean-variance optimization; Mathematics and Statistics;

    Abstract : This thesis aims to examine an efficient asset and liability management method under Solvency II regulations, and to find an optimization framework that takes complex interactions between assets and liabilities into account. The investigated approach consists of a least-squares Monte Carlo method, where least-squares regression is used to obtain a proxy function for future net asset values. READ MORE

  5. 5. American Option Price Approximation for Real-Time Clearing

    University essay from Umeå universitet/Institutionen för fysik

    Author : Andreas Blanck; [2018]
    Keywords : Finance; Options; Risk; VaR; Price approximation;

    Abstract : American-style options are contracts traded on financial markets. These are derivatives of some underlying security or securities that in contrast to European-style options allow their holders to exercise at any point before the contracts expire. READ MORE