Essays about: "Sajedeh Saadat"

Found 2 essays containing the words Sajedeh Saadat.

  1. 1. Merton's Portfolio Problem under Jourdain--Sbai Model

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

    Author : Sajedeh Saadat; [2023]
    Keywords : Merton’s Optimal Investment-Consumption Problem; Dynamic Programming; Hamilton-Jacobi-Bellman equation; Stochastic Volatility Model; Finite-difference method; Crank-Nicolson.;

    Abstract : Portfolio selection has always been a fundamental challenge in the field of finance and captured the attention of researchers in the financial area. Merton's portfolio problem is an optimization problem in finance and aims to maximize an investor's portfolio. READ MORE

  3. 2. Deterministic Quadrature Formulae for the Black–Scholes Model

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

    Author : Sajedeh Saadat; Timo Kudljakov; [2021]
    Keywords : Deterministic quadrature formulae; Stochastic differential equation; Black--Scholes model; Discretization method.;

    Abstract : There exist many numerical methods for numerical solutions of the systems of stochastic differential equations. We choose the method of deterministic quadrature formulae proposed by Müller–Gronbach, and Yaroslavtseva in 2016. The idea is to apply a simplified version of the cubature in Wiener space. READ MORE