Essays about: "cubature method"

Found 4 essays containing the words cubature method.

  1. 1. Sensor fusion for estimating vehicle chassis movement

    University essay from KTH/Fordonsdynamik

    Author : Edwin Solomon Arthur Paul; Sanjay Varadharajan; [2021]
    Keywords : Sensor fusion; Vehicle dynamics; State estimation; Sensors; Sensorfusion; Fordonsdynamik; Skattning av parametrar; Sensorer;

    Abstract : The aim of this thesis work is to investigate the possibility of applying a sensor fusion algorithm with a focus on estimating vehicle dynamic states, mainly the vehicle body accelerations. Modern passenger vehicles have several mechatronic systems such as active safety, comfort, driver assistance etc. 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

  4. 3. Advanced methods for pricing financial derivatives in a market modelwith two stochastic volatilities

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

    Author : Victor Folajin; [2021]
    Keywords : Financial derivative; market model; cubature method; stochastic Taylor expansion; Stratonovich integral;

    Abstract : This thesis is on an advanced method for pricing financial derivatives in a market model,which comprises two stochastic volatilities. Financial derivatives are instruments whosethat is related to any financial asset. Underlying assets in derivatives are mostly financialinstruments; such as security, currency or a commodity. READ MORE

  5. 4. Cubature on Wiener Space for the Heath--Jarrow--Morton framework

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

    Author : Lutufyo Mwangota; [2019]
    Keywords : Heath–Jarrow–Morton model; stochastic Taylor expansion; Cubature formulae; Brownian signature; forward rate.;

    Abstract : This thesis established the cubature method developed by Gyurkó & Lyons (2010) and Lyons & Victor (2004) for the Heath–Jarrow–Morton (HJM) model. The HJM model was first proposed by Heath, Jarrow, and Morton (1992) to model the evolution of interest rates through the dynamics of the forward rate curve. READ MORE