Essays about: "calibration"

Showing result 1 - 5 of 599 essays containing the word calibration.

  1. 1. Deep Learning and the Heston Model:Calibration & Hedging

    University essay from Göteborgs universitet/Institutionen för nationalekonomi med statistik

    Author : Oliver Klingberg Malmer; Victor Tisell; [2020-07-03]
    Keywords : deep learning; deep hedging; deep calibration; option pricing; stochastic volatilty; Heston model; S P 500 index options; incomplete markets; transaction costs;

    Abstract : The computational speedup of computers has been one of the de ning characteristicsof the 21st century. This has enabled very complex numerical methods for solving existingproblems. As a result, one area that has seen an extraordinary rise in popularity over the lastdecade is what is called deep learning. READ MORE

  2. 2. Machine Learning Based Intraday Calibration of End of Day Implied Volatility Surfaces

    University essay from KTH/Matematisk statistik; KTH/Matematisk statistik

    Author : Christopher Herron; André Zachrisson; [2020]
    Keywords : Applied Mathematics; Machine Learning; Statistics; Gaussian Process; Neural Network; Options; Volatility; Implied Volatility Surface; Black Scholes; Tillämpad matematik; Maskininlärning; Statistik; Gaussisk Process; Neurala Nätverk; Optioner; Volatilitet; Implicit Volatilitetsyta; Black Scholes;

    Abstract : The implied volatility surface plays an important role for Front office and Risk Management functions at Nasdaq and other financial institutions which require mark-to-market of derivative books intraday in order to properly value their instruments and measure risk in trading activities. Based on the aforementioned business needs, being able to calibrate an end of day implied volatility surface based on new market information is a sought after trait. READ MORE

  3. 3. Optimisation of Run of River Production Forecasting Using Aiolos Forecast Studio

    University essay from Lunds universitet/Avdelningen för Teknisk vattenresurslära

    Author : Amer Al-Qes; [2020]
    Keywords : Run of river hydropower plants; power production forecasting; Aiolos forecast studio; model accuracy assessment analysis and power market.; Technology and Engineering;

    Abstract : Hydropower is simply the largest source of renewable energy in the Nordic countries, where It compose around 90% of power production in Iceland, 70% in Norway, 40% in Sweden and 20% in Finland. Mountainous terrain and abundance in the surface water is a significant contributing factor in hydropower production. READ MORE

  4. 4. Modelling gross primary production in semi-arid regions: effects on carbon uptake of intensive agriculture in southern Kenya

    University essay from Lunds universitet/Institutionen för naturgeografi och ekosystemvetenskap

    Author : Malin Ahlbäck; [2020]
    Keywords : Physical Geography; Ecosystem Analysis; GPP; Africa; Kenya; Land cover changes; Cropland; Remote sensing; Sentinel-2; Earth and Environmental Sciences;

    Abstract : Background and aim: Gross primary production (GPP) is the largest global carbon (C) flux and an important component for counteracting anthropogenic CO2 emissions, understanding vegetation dynamics, and sustaining universal human standards. Africa plays a prominent role in the global C cycle, though our understanding of GPP dynamics is largely hampered by a paucity of ground-based observations. READ MORE

  5. 5. Calibration of Breast Cancer Natural History Models Using Approximate Bayesian Computation

    University essay from KTH/Matematisk statistik

    Author : Oscar Bergqvist; [2020]
    Keywords : Approximate Bayesian Computation; ABC; breast cancer natural history models; random effects; Bayesian statistics; likelihood-free inference; Approximate Bayesian computation; ABC; natural history models för bröstcancer; random effects; bayesiansk statistik; likelihood-fri inferens;

    Abstract : Natural history models for breast cancer describe the unobservable disease progression. These models can either be fitted using likelihood-based estimation to data on individual tumour characteristics, or calibrated to fit statistics at a population level. READ MORE