Essays about: "control variates"

Found 4 essays containing the words control variates.

  1. 1. SEQUENTIAL A/B TESTING USING PRE-EXPERIMENT DATA

    University essay from Uppsala universitet/Statistiska institutionen

    Author : Erik Stenberg; [2019]
    Keywords : A B testing; sequential analysis; continouous monitoring; variance reduction;

    Abstract : This thesis bridges the gap between two popular methods of achieving more efficient online experiments, sequential tests and variance reduction with pre-experiment data. Through simulations, it is shown that there is efficiency to be gained in using control-variates sequentially along with the popular mixture Sequential Probability Ratio Test. READ MORE

  3. 2. P-SGLD : Stochastic Gradient Langevin Dynamics with control variates

    University essay from Linköpings universitet/Statistik och maskininlärning

    Author : Andrea Bruzzone; [2017]
    Keywords : Big Data; Bayesian Inference; MCMC; SGLD; Estimated Gradient; Logistic Regression;

    Abstract : Year after years, the amount of data that we continuously generate is increasing. When this situation started the main challenge was to find a way to store the huge quantity of information. READ MORE

  4. 3. 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

  5. 4. Pricing Timer Options under Jump-Diffusion Processes

    University essay from Lunds universitet/Matematisk statistik

    Author : Janis Müller; [2014]
    Keywords : Mathematics and Statistics;

    Abstract : Timer options are relatively new exotic options with the feature that they expire as soon as the accumulated realized variance exceeds a predefined level. This construction leads to a random time to maturity instead of having a fixed exercise day. READ MORE