Essays about: "automatic differentiation"

Showing result 11 - 15 of 16 essays containing the words automatic differentiation.

  1. 11. Thesis - Optimizing Smooth Local Volatility Surfaces with Power Utility Functions

    University essay from Linköpings universitet/Produktionsekonomi; Linköpings universitet/Tekniska fakulteten

    Author : Gustav Sällberg; Pontus Söderbäck; [2015]
    Keywords : local volatility surface; LVS; optimization; roughness; smooth; risk neutral pricing; optimal growth; pricing error; automatic differentiation; algorithmic differentiation;

    Abstract : The master thesis is focused on how a local volatility surfaces can be extracted by optimization with respectto smoothness and price error. The pricing is based on utility based pricing, and developed to be set in arisk neutral pricing setting. READ MORE

  3. 12. Implementation of smooth interpolation for optimization

    University essay from Lunds universitet/Institutionen för reglerteknik

    Author : Joakim Larsson; [2015]
    Keywords : Technology and Engineering;

    Abstract : Models of physical systems are often expressed as a system of mathematical expressions derived from first principles. However some of the relationships present in a model are more conveniently expressed as a table, i.e. for certain values of independent variables the values of dependent variables are known. READ MORE

  4. 13. Pricing of American options with discrete dividends using a PDE and a volatility surface while calculating derivatives with automatic differentiation

    University essay from Linköpings universitet/Produktionsekonomi

    Author : David Hjelmberg; Björn Lagerström; [2014]
    Keywords : American options; BSM PDE; discrete dividends; forward PDE; local volatility surface; automatic differentiation;

    Abstract : In this master thesis we have examined the possibility of pricing multiple American options, on an underlying asset with discrete dividends, with a finite difference method. We have found a good and stable way to price one American option by solving the BSM PDE backwards, while also calculating the Greeks of the option with automatic differentiation. READ MORE

  5. 14. Collocation methods in JModelica.org

    University essay from Lunds universitet/Institutionen för reglerteknik

    Author : Fredrik Magnusson; [2012]
    Keywords : Technology and Engineering;

    Abstract : In this thesis, we use CasADi to implement a new optimization algorithm in the open-source platform JModelica.org. CasADi is a tool for computing derivatives using automatic differentiation, which is tailored for optimal control. JModelica. READ MORE

  6. 15. Perfection of liens - is a reform from pledge to filing preferable?

    University essay from Lunds universitet/Juridiska institutionen

    Author : Jonatan Lund Kirkhoff; [2010]
    Keywords : Förmögenhetsrätt; Kredit- och säkerhetsrätt; Law and Political Science;

    Abstract : The current Swedish rules regarding perfection of liens is fragmented. The system has only undergone partial reform and even then only because of extreme necessity. The U.S. READ MORE