Essays about: "Monte-Carlo methods"

Showing result 21 - 25 of 297 essays containing the words Monte-Carlo methods.

  1. 21. Gradients of the Poisson Equation using a Stochastic Method

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

    Author : Emil Gestsson; [2023]
    Keywords : ;

    Abstract : In this report, a recently discovered numerical method has been tested and shown to be viable. The method aims to calculate the gradient of the solution of a bounded Poisson equation, specifically: 1/2 ∇² φ + f |G = 0,   φ(x) |∂G  = 0, (0.1) where G is some open domain. READ MORE

  3. 22. Stochastic Runge–Kutta Lawson Schemes for European and Asian Call Options Under the Heston Model

    University essay from Mälardalens universitet/Akademin för utbildning, kultur och kommunikation

    Author : Nicolas Kuiper; Martin Westberg; [2023]
    Keywords : Runge–Kutta Lawson scheme; Heston model; Black–Scholes model; Stochastic Differential Equation; Euler–Maruyama scheme; Midpoint scheme; Monte Carlo; European Options; Asian Options; Option pricing.;

    Abstract : This thesis investigated Stochastic Runge–Kutta Lawson (SRKL) schemes and their application to the Heston model. Two distinct SRKL discretization methods were used to simulate a single asset’s dynamics under the Heston model, notably the Euler–Maruyama and Midpoint schemes. READ MORE

  4. 23. Modeling Interest Rate Risk in the Banking Book

    University essay from KTH/Matematik (Avd.)

    Author : Måns Ulmgren; [2022]
    Keywords : applied mathematics; IRRBB; Nelson Siegel; yield curve; tillämpad matematik; IRRBB; Nelson Siegel; avkastningskurva;

    Abstract : For a long time, being able to model and mitigate financial risk has been a key success factor for institutions. Apart from an internal incentive, legal and regulatory requirements continue to develop which increases the need for extensive internal risk control. READ MORE

  5. 24. A Study on Poset Probability

    University essay from Linköpings universitet/Algebra, geometri och diskret matematik; Linköpings universitet/Tekniska fakulteten

    Author : Albin Jaldevik; [2022]
    Keywords : Discrete mathematics; Order theory; Combinatorics; Partially ordered set; Poset; Linear extension; Topological sorting; Probability; Partition; Young diagram;

    Abstract : Let be a finite poset (partially ordered set) with cardinality . A linear extension of is an order-preserving bijection : , that is, if in then . We define the poset probability as the proportion of linear extensions where . We are primarily interested in for incomparable elements . READ MORE

  6. 25. Machine learning and statistical methods in search of cosmic neutrino sources

    University essay from Linnéuniversitetet/Institutionen för fysik och elektroteknik (IFE)

    Author : Luigino Capone; [2022]
    Keywords : neutrino; gamma rays; astroparticle; machine learning; statistical methods; ice cube; Monte Carlo; active galaxy nuclei;

    Abstract : .... READ MORE