Essays about: "Monte-Carlo methods"

Showing result 16 - 20 of 297 essays containing the words Monte-Carlo methods.

  1. 16. Option pricing with Quadratic Rough Heston Model

    University essay from Uppsala universitet/Sannolikhetsteori och kombinatorik

    Author : Marina Dushkina; [2023]
    Keywords : option pricing; rough volatility models; Heston model; Monte Carlo methods; calibration; quadratic rough Heston model; volatility smile;

    Abstract : In this thesis, we study the quadratic rough Heston model and the corresponding simulation methods. We calibrate the model using real-world market data. We compare and implement the three commonly used schemes (Hybrid, Multifactor, and Multifactor hybrid). We calibrate the model using real-world market SPX data. READ MORE

  3. 17. Pricing Convertible Bonds Using Monte Carlo Simulations

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

    Author : Gustav Marklund Brinell; [2023]
    Keywords : Convertible bonds; Monte Carlo;

    Abstract : In this paper we dive into the world of pricing convertible bonds, with increasing complexity. This work aims to investigate the pricing methods behind different convertibles and see how well they agree with exact prices and benchmarks from established literature. READ MORE

  4. 18. Probing Strangeness Production in Proton-Proton Collisions with Three-Particle Correlations

    University essay from Lunds universitet/Partikel- och kärnfysik; Lunds universitet/Fysiska institutionen

    Author : Melinda Petricean; [2023]
    Keywords : Physics and Astronomy;

    Abstract : Strangeness production in small systems such as proton-proton collisions is here investigated through the use of three-particle correlations in the momentum-space coordinates η and ϕ. This method is used in order to investigate possible correlation between conservation of both strangeness and baryon number, such that the particles chosen are Λ¯pK+ and the respective charge conjugates, where Λ is a strange baryon, p¯ balances: the Balance Function and the comparative restriction of relative positions for pairs of particles within given triplets. READ MORE

  5. 19. Longitudinal Group Sequential Testing

    University essay from Uppsala universitet/Statistiska institutionen

    Author : Emil Lanzén; [2023]
    Keywords : ;

    Abstract : Sequential testing is used in clinical trials and online experiments to terminate trials early if there is sufficient evidence of a treatment effect, reducing the subjects’ exposure to potentially harmful treatments. However, incomplete follow-up of trial subjects can lead to biased estimation of the treatment effect. READ MORE

  6. 20. Uncertainty Estimation in Volumetric Image Segmentation

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

    Author : Donggyun Park; [2023]
    Keywords : Uncertainty Estimation; Uncertainty Quantification UQ ; Volumetric Image Segmentation; 3D U-Net; test-time data augmentation; Deep ensemble;

    Abstract : The performance of deep neural networks and estimations of their robustness has been rapidly developed. In contrast, despite the broad usage of deep convolutional neural networks (CNNs)[1] for medical image segmentation, research on their uncertainty estimations is being far less conducted. READ MORE