Essays about: "Quasi Monte Carlo"

Showing result 16 - 20 of 28 essays containing the words Quasi Monte Carlo.

  1. 16. Randomized Quasi-Monte Carlo Simulations for Basket Option Pricing where underlying assets follow a Time-Changed Meixner Levy Process

    University essay from Lunds universitet/Matematisk statistik

    Author : Gustav Säfwenberg; [2016]
    Keywords : Mathematics and Statistics;

    Abstract : Using derivative securities can help investors increase their expected returns as well as minimize their exposure to risk. For a risk-averse investor, options can oer both insurance and leverage and for a more risk-loving investor they can be used as speculation. READ MORE

  3. 17. A Simulation Study comparing MCMC, QML and GMM Estimation of the Stochastic Volatility Model

    University essay from Lunds universitet/Nationalekonomiska institutionen

    Author : Carl Nilsson; [2016]
    Keywords : Monte Carlo simulation; stochastic volatility; Markov chain Monte Carlo; quasi-maximum likelihood; generalized method of moments; Business and Economics;

    Abstract : The stochastic volatility (SV) model is an alternative to GARCH models to model time varying volatility. In this thesis the basic stochastic volatility model and three different estimation methods are described---namely, Bayesian Markov chain Monte Carlo (MCMC) methods, quasi maximum-likelihood (QML) and generalized method of moments (GMM). READ MORE

  4. 18. Uncertainty quantification using high-dimensional numerical integration

    University essay from KTH/Skolan för teknikvetenskap (SCI)

    Author : Rickard Strandberg; Johan Låås; [2016]
    Keywords : ;

    Abstract : We consider quantities that are uncertain because they depend on one or many uncertain parameters. If the uncertain parameters are stochastic the expected value of the quantity can be obtained by integrating the quantity over all the possible values these parameters can take and dividing the result by the volume of the parameter-space. READ MORE

  5. 19. Randomized Quasi-Monte Carlo Methods for Basket Option Pricing Where Underlying Assets Follow a Time-Changed Meixner Lévy Process

    University essay from Lunds universitet/Matematisk statistik

    Author : Gustav Säfwenberg; [2016]
    Keywords : Basket options Randomized quasi-Monte Carlo Time-changed Lévy Process Meixner Distribution Fast Fourier Transform; Mathematics and Statistics;

    Abstract : Using derivative securities can help investors increase their expected returns as well as minimize their exposure to risk. For a risk-averse investor, options can offer both insurance and leverage and for a more risk-loving investor they can be used as speculation. READ MORE

  6. 20. Control Variates for Monte Carlo-Pricing of Three-Asset Spread Options with Application in the Energy Markets

    University essay from Lunds universitet/Nationalekonomiska institutionen

    Author : Oscar Dahlblom; [2016]
    Keywords : energy markets; quantitative finance; Monte carlo simulation; control variates; option pricing; spread options; three assets; Business and Economics;

    Abstract : The purpose of this paper is to compare a collection of control variates for Monte Carlo-valuation of spread options on three assets with a view towards energy markets and to lay a foundation for continued research on control variates, e.g. combinations of control variates and adaption for quasi-Monte Carlo. READ MORE