Essays about: "least-squares Monte Carlo"

Showing result 16 - 20 of 20 essays containing the words least-squares Monte Carlo.

  1. 16. Pricing swing options in the electricity market

    University essay from Lunds universitet/Matematisk statistik

    Author : Caroline Olofsson; [2015]
    Keywords : Mathematics and Statistics;

    Abstract : The thesis deals with how to price swing options in the electricity market by using a least squares Monte Carlo method. This is a simulation method which uses a backwards moving algorithm where the optimal decision is calculated at every time step. READ MORE

  3. 17. Estimation, model selection and evaluation of regression functions in a Least-squares Monte-Carlo framework

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

    Author : Johan Danielsson; Gustav Gistvik; [2014]
    Keywords : LSMC; Least Squares Monte-Carlo; Solvency; SCR; Regression;

    Abstract : This master thesis will investigate one solution to the problem issues with nested stochastic simulation arising when the future value of a portfolio need to be calculated. The solution investigated is the Least-squares Monte-Carlo method, where regression is used to obtain a proxy function for the given portfolio value. READ MORE

  4. 18. Diffuse reflectance spectroscopy as a tool to evaluate liver tissue

    University essay from Lunds universitet/Matematisk fysik; Lunds universitet/Atomfysik

    Author : Therese Alburg; David Kraus; [2014]
    Keywords : diffuse reflectance spectroscopy; drs; biophotonics; medical optics; diffusion; tissue evaluation; Technology and Engineering;

    Abstract : The shape of a diffuse reflectance spectra can provide knowledge about tissue composition. By analysing this spectra one can, with the right evaluation methods, find out information about the tissue. READ MORE

  5. 19. Game contingent claims

    University essay from KTH/Matematisk statistik

    Author : Daniel Eliasson; [2012]
    Keywords : Game contingent claims; game options; Israeli options; Dynkin games; zero-sum games; non-zero-sum games; Monte-Carlo simulation; pricing;

    Abstract : Abstract Game contingent claims (GCCs), as introduced by Kifer (2000), are a generalization of American contingent claims where the writer has the opportunity to terminate the contract, and must then pay the intrinsic option value plus a penalty. In complete markets, GCCs are priced using no-arbitrage arguments as the value of a zero-sum stochastic game of the type described in Dynkin (1969). READ MORE

  6. 20. A Study of Impulse Response System Identification

    University essay from Karlstads universitet/Fakulteten för teknik- och naturvetenskap

    Author : Suraj Paluri; Sandeep Patluri; [2007]
    Keywords : Impulse Response; System Identification; Monte Carlo; Signal to noise ratio SNR ;

    Abstract : In system identification, different methods are often classified as parametric or non-parametric methods. For parametric methods, a parametric model of a system is considered and the model parameters are estimated. For non-parametric methods, no parametric model is used and the result of the identification is given as a curve or a function. READ MORE