Essays about: "Monte Carlo-metoder"

Showing result 1 - 5 of 24 essays containing the words Monte Carlo-metoder.

1. 1. Multi-factor approximation : An analysis and comparison ofMichael Pykhtin's paper “Multifactor adjustment”

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

   Author : Michael Zanetti; Philip Güzel; [2023]
   Keywords : Credit risk; Value at Risk; Expected Shortfall; Monte Carlo simulation; Advanced Internal Rantings-Based models; Kreditrisk; Value at Risk; Expected Shortfall; Monte Carlo simulation; Advanced Internal Rantings-Based-modeller;

   Abstract : The need to account for potential losses in rare events is of utmost importance for corporations operating in the financial sector. Common measurements for potential losses are Value at Risk and Expected Shortfall. These are measures of which the computation typically requires immense Monte Carlo simulations. READ MORE

3. 2. Computation of Effective Local Diffusion Tensor

   University essay from KTH/Fysik

   Author : Viktor Pontéus; [2022]
   Keywords : Diffusion; Diffusion Tensor; Fokker-Planck; Coarse-graining; Extended Ensembles; Diffusion; Diffusionstensor; Fokker-Planck; Coarse-graining; Utvidgad ensemble;

   Abstract : Numerical simulations of large complex systems such as biomolecules often suffer from the full description of the system having too many dimensions for direct numerical calculations and Monte Carlo methods having trouble overcoming energy barriers. It is therefore desirable to formulate a description in lower dimension which captures the system’s macroscopic behaviour. READ MORE

4. 3. Effects of power-law correlated disorder on a 3D XY model

   University essay from KTH/Fysik

   Author : Philip Broms; [2022]
   Keywords : Condensed matter physics; Ising model; XY model; Markov Chain Monte Carlo; Phase transition; Disorder; Theoretical physics; Wolff algorithm; Kondenserade materians teori; Isingmodell; XY-modell; Markovkedje-Monte Carlo-metoder; Teoretisk fysik; Oordning; Fasövergångar; Wolffalgoritmen;

   Abstract : This thesis investigates the effects of power-law correlated disorder on a three-dimensional XY model and the Weinrib-Halperin disorder relevance criterion’s pre-dictive ability. Ising models are used as a map to realise disorder couplings. READ MORE

5. 4. Models of superconductors with correlated defects

   University essay from KTH/Fysik

   Author : Jakob Bolin; [2022]
   Keywords : Quantum phase transition; correlated disorder; 3D XY model; Monte Carlo simulation; worm algorithm; winding number; superfluid density; Kvantfasövergång; korrelerad oordning; 3D XY modell; Monte Carlo simulering; worm algoritmen; vindlingstal; supraledande täthet;

   Abstract : The quantum phase transition between groundstates of a system with correlated disorder near absolute zero is studied. The computations are based on Monte Carlo methods and the worm algorithm which is an effective method to simulate basic models like the Ising and XY model by making use of global Monte Carlo moves given by modified random walks. READ MORE

6. 5. Differential Deep Learning for Pricing Exotic Financial Derivatives

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

   Author : Erik Alexander Aslaksen Jonasson; [2021]
   Keywords : Deep Learning; Exotic Derivatives; Differential Machine Learning;

   Abstract : Calculating the value of a financial derivative is a central problem in quantitative finance. For many exotic derivatives there are no closed-form solutions for present values, instead, computationally expensive Monte Carlo methods are used for valuation. READ MORE