Advanced search

Found 2 essays matching the above criteria.

1. 1. Mixed Integer Linear Programming for Allocation of Collateral within Securities Lending

   University essay from KTH/Optimeringslära och systemteori

   Author : Martin Wass; [2020]
   Keywords : Collateral; collateral management; optimisation; mixed integer linear programming; collateral allocation; opportunity cost; triparty collateral management; counterparty risk; Säkerheter; säkerhetshantering; optimering; blandat-heltal linjär programmering; alternativkostnad; motpartsrisk; tripartykostnad;

   Abstract : A mixed integer linear programming formulation is used to solve the problem of allocating assets from a bank to its counterparties as collateral within securities lending. The aim of the optimisation is to reduce the cost of allocated collateral, which is broken down into the components opportunity cost, counterparty risk cost and triparty cost. READ MORE

3. 2. An analysis of the effects of particle amount on the accuracy of particle filter estimations of marginal likelihood

   University essay from KTH/Skolan för elektroteknik och datavetenskap (EECS)

   Author : Martin Wass; Thomas Wang; [2018]
   Keywords : ;

   Abstract : Particle filters are a type of genetic Monte Carlo algorithms that are broadly applied on filtering problems arising in signal processing and Bayesian statistical inference. These type of inference problems are easily modelled as hidden Markov models. READ MORE