Essays about: "least-squares Monte Carlo"
Showing result 6 - 10 of 20 essays containing the words least-squares Monte Carlo.
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6. Component-Based Transfer Path Analysis and Hybrid Substructuring at high frequencies : A treatise on error modelling in Transfer Path Analysis
University essay from KTH/Maskinkonstruktion (Avd.)Abstract : The field of modal testing and analysis is currently facing a surge of interest in error modelling. Several errors which occur during testing campaigns are modelled analytically or numerically and propagated to various system coupling and interface reduction routines effectively. READ MORE
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7. Efficient Monte Carlo Simulation for Counterparty Credit Risk Modeling
University essay from KTH/Matematisk statistikAbstract : In this paper, Monte Carlo simulation for CCR (Counterparty Credit Risk) modeling is investigated. A jump-diffusion model, Bates' model, is used to describe the price process of an asset, and the counterparty default probability is described by a stochastic intensity model with constant intensity. READ MORE
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8. Asset and Liability Management: Optimization using Least-Squares Monte Carlo
University essay from Lunds universitet/Matematisk statistikAbstract : This thesis aims to examine an efficient asset and liability management method under Solvency II regulations, and to find an optimization framework that takes complex interactions between assets and liabilities into account. The investigated approach consists of a least-squares Monte Carlo method, where least-squares regression is used to obtain a proxy function for future net asset values. READ MORE
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9. American Option Price Approximation for Real-Time Clearing
University essay from Umeå universitet/Institutionen för fysikAbstract : American-style options are contracts traded on financial markets. These are derivatives of some underlying security or securities that in contrast to European-style options allow their holders to exercise at any point before the contracts expire. READ MORE
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10. Application and Evaluation of Artificial Neural Networks in Solvency Capital Requirement Estimations for Insurance Products
University essay from KTH/Matematisk statistikAbstract : The least squares Monte Carlo (LSMC) approach is commonly used in the estimation of the solvency capital requirement (SCR), as a more computationally efficient alternative to a full nested Monte Carlo simulation. This study compares the performance of artificial neural networks (ANNs) to that of the LSMC approach in the estimation of the SCR of various financial portfolios. READ MORE