Essays about: "Monte Carlo"

Showing result 1 - 5 of 639 essays containing the words Monte Carlo.

  1. 1. Deep learning exotic derivatives

    University essay from Uppsala universitet/Avdelningen för systemteknik

    Author : Gunnlaugur Geirsson; [2021]
    Keywords : deep learning; neural networks; derivative pricing; automatic differentiation; Monte Carlo; transfer learning; structured products; risk sensitivities; valuation; autocalls;

    Abstract : Monte Carlo methods in derivative pricing are computationally expensive, in particular for evaluating models partial derivatives with regard to inputs. This research proposes the use of deep learning to approximate such valuation models for highly exotic derivatives, using automatic differentiation to evaluate input sensitivities. READ MORE

  2. 2. Delayed-acceptance approximate Bayesian computation Markov chain Monte Carlo: faster simulation using a surrogate model

    University essay from Göteborgs universitet/Institutionen för matematiska vetenskaper

    Author : Andrea Krogdal; [2020-01-09]
    Keywords : ABC; MCMC; delayed acceptance; DA; surrogate model;

    Abstract : The thesis introduces an innovative way of decreasing the computational cost of approximateBayesian computation (ABC) simulations when implemented via Markovchain Monte Carlo (MCMC). Bayesian inference has enjoyed incredible success sincethe beginning of 1990’s thanks to the re-discovery of MCMC procedures, and theavailability of performing personal computers. READ MORE

  3. 3. Quantum statistics and the magnetocaloric effect

    University essay from Uppsala universitet/Materialteori

    Author : Anna Sandberg; [2020]
    Keywords : quantum statistics; magnetocaloric effect; magnetocaloric; magnetic cooling; simulation;

    Abstract : Caloric materials show prospect in replacing the function of vaporcompression systems in todays cooling devices, resulting in more energy efficient cooling and eliminating the need for refrigerents which contribute to climate change. This project has focused on magnetocaloric materials, which experience changes in temperature when exposed to magnetic fields. READ MORE

  4. 4. Playing the Game of Risk with an AlphaZero Agent

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

    Author : Erik Blomqvist; [2020]
    Keywords : ;

    Abstract : This thesis is done in collaboration with the Swedish Defense ResearchAgency and investigates the learning capabilities of zero learning algorithms from a war gaming perspective by applying them to the classic strategy board game Risk. Agents are designed using the Monte Carlo Tree Search algorithm for online decision making and is aided by a neural network that learns offline action policies and a state evaluation function. READ MORE

  5. 5. Stochastic Settlement Model Including Creep Effects : Simulation of Groundwater Induced Subsidence

    University essay from KTH/Hållbar utveckling, miljövetenskap och teknik; KTH/Hållbar utveckling, miljövetenskap och teknik

    Author : Pierre Wikby; Ragnar Andersson; [2020]
    Keywords : creep settlement; secondary compression; geotechnical uncertainty; EMBANKCO; groundwater drawdown; time-dependent settlement model; krypsättningar; Sekundärkompression; geoteknisk osäkerhet; EMBANKCO; grundvattensänkning; tidsberoende sättningsmodell;

    Abstract : When underground openings are constructed, groundwater inflow can occur, which might lead to ground settlements, namely in clay. In these types of construction projects, it is beneficial to be able to quantify risks related to these settlements. A framework developed by Sundell et al. (2019, Risk Analysis, Vol. READ MORE