Essays about: "automatic differentiation"
Showing result 6 - 10 of 16 essays containing the words automatic differentiation.
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6. Measuring the Risk-neutral Probability Distribution of Equity Index Options
University essay from Linköpings universitet/ProduktionsekonomiAbstract : The focus of this master thesis is to develop a model that measures the risk-neutral probability distributionof the future value of a portfolio consisting of options on the S&P 500 index. The cornerstone of the model is an explicit and thorough construction of the local volatility surface. The parametric model of Coleman etal. READ MORE
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7. Efficient Barrier Option Greeks using Automatic Differentation
University essay from Lunds universitet/Matematisk statistikAbstract : Automatic Differentiation (AD) is an effective method for calculation of derivatives. It can evaluate an unlimited number of derivatives to a fixed cost relative to the computing time of the original function. The AD technique is used in many fields for large and complex calculations in order to get accurate values of derivatives fast. READ MORE
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8. Test and Assessment of Derivative Computation Architectures using OpenMDAO and its Application in a Real Airfoil Optimization Problem
University essay from KTH/Numerisk analys, NAAbstract : Optimization problems are widespread in everyday life and engineering science. In the engineering optimization domain, the problems are usually modelled with an objective function. READ MORE
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9. Grey-box modelling of distributed parameter systems
University essay from KTH/Beräkningsvetenskap och beräkningsteknik (CST)Abstract : Grey-box models are constructed by combining model components that are derived from first principles with components that are identified empirically from data. In this thesis a grey-box modelling method for describing distributed parameter systems is presented. READ MORE
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10. Automatic detection of manipulated packages by image comparison
University essay from KTH/Skolan för datavetenskap och kommunikation (CSC)Abstract : Shipping companies have a lot of difficulties to control and screen packages such as mail or different types of cargo that may contain dangerous or illegal goods. This project has the goal to enhance the supply chain security by elaborating a way to automatically detect manipulated packages. READ MORE