Essays about: "Quasi Monte Carlo"

Showing result 11 - 15 of 28 essays containing the words Quasi Monte Carlo.

  1. 11. Optimization under parameter uncertainties with application to product cost minimization

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

    Author : Ann-Sofi Kidwell; [2018]
    Keywords : Monte Carlo simulations; Quasi Monte Carlo; Non-linear Optimization; quasi-random sequences; transformer design process;

    Abstract : This report will look at optimization under parameters of uncertainties. It will describe the subject in its wider form, then two model examples will be studied, followed by an application to an ABB product. The Monte Carlo method will be described and scrutinised, with the quasi-Monte Carlo method being favoured for large problems. READ MORE

  3. 12. Quasi-Monte Carlo Integration over Non-Cubical Domains

    University essay from Lunds universitet/Matematisk statistik

    Author : Nilofar Mortazavi; [2017]
    Keywords : Mathematics and Statistics;

    Abstract : Monte Carlo (MQ) method is a powerful tool to approximate high dimensional integrals. The disadvantage of ordinary MQ is the slow convergence rate by cause of the essential randomness of this method. Computations of this convergence can lead to pure time consuming. READ MORE

  4. 13. Sensitivity analysis and calibration of multi energy balance land surface model parameters

    University essay from Lunds universitet/Institutionen för naturgeografi och ekosystemvetenskap

    Author : Kim Friberg; [2017]
    Keywords : Physical Geography; Land Surface Model; Multi Energy Balance; Sensitivity Analysis; Parameter Calibration; Earth and Environmental Sciences;

    Abstract : Flows of energy between the atmosphere, the oceans and the land surfaces drive weather and climate on Earth. Increased understanding of these processes is crucial to successfully predict and address the challenges of climate change. READ MORE

  5. 14. Pricing of European and Asian options with Monte Carlo simulations : Variance reduction and low-discrepancy techniques

    University essay from Umeå universitet/Nationalekonomi

    Author : Alexander Ramström; [2017]
    Keywords : ;

    Abstract : This thesis evaluates different models accuracy of option pricing by MonteCarlo simulations when changing parameter values and the number of simulations. By simulating the asset movements thousands of times and use well established theory one can approximate the price of one-year financialoptions and for the European options also compare them to the price from Black-Scholes exact pricing formula. READ MORE

  6. 15. Regression-Based Monte Carlo For Pricing High-Dimensional American-Style Options

    University essay from Umeå universitet/Institutionen för fysik

    Author : Niklas Andersson; [2016]
    Keywords : American options; Monte Carlo; Robust Regression; Quasi Monte Carlo; Importance sampling;

    Abstract : Pricing different financial derivatives is an essential part of the financial industry. For some derivatives there exists a closed form solution, however the pricing of high-dimensional American-style derivatives is still today a challenging problem. READ MORE