Essays about: "numerical methods in finance"

Showing result 1 - 5 of 8 essays containing the words numerical methods in finance.

  1. 1. Evaluation of methods for quantifying returns within the premium pension

    University essay from KTH/Matematisk statistik

    Author : Emil Backman; David Petersson; [2020]
    Keywords : Pension; internal rate of return; applied mathematics; big matrix; numerical methods; large eigenvalue problem; finance; risk analysis; extreme value modeling; probability; stochastic modeling; Pension; intern ränta; tillämpad matematik; stora matrismetoder; numeriska metoder; stora egenvärdesproblem; finans; riskanalys; modellering av extrema värden; sannolikhet; stokastisk modellering;

    Abstract : Pensionsmyndigheten's (the Swedish Pensions Agency) current calculation of the internal rate of return for 7.7 million premium pension savers is both time and resource consuming. READ MORE

  3. 2. Numerical solution for derivative models using finite difference methods and how this can be used with Monte Carlo simulation

    University essay from Lunds universitet/Matematisk statistik

    Author : Marcus Hallabro; [2019]
    Keywords : Finite Difference Method; Option Pricing; Feynman-Kac Rep- resentation; Monte Carlo Simulation; Negative Probabilities.; Mathematics and Statistics;

    Abstract : Derivative models often come in the form of stochastic differential equations. From these equations a partial differential equation (PDE) can be derived. By discretizing the PDE the numerical solution is obtained on a form where the value of the derivative can be seen as a probabilistic weighting of future values. READ MORE

  4. 3. Monte Carlo Path Simulation and the Multilevel Monte Carlo Method

    University essay from Umeå universitet/Institutionen för fysik

    Author : Krister Janzon; [2018]
    Keywords : Multilevel Monte Carlo; computational complexity; option pricing; path approximation; Euler–Maruyama; Milstein;

    Abstract : A standard problem in the field of computational finance is that of pricing derivative securities. This is often accomplished by estimating an expected value of a functional of a stochastic process, defined by a stochastic differential equation (SDE). READ MORE

  5. 4. Organisation of Structured Export Financing by Commercial Banks in Russian Federation

    University essay from Högskolan i Jönköping/IHH, Företagsekonomi

    Author : Ivan Ageev; [2014]
    Keywords : Export Financing; Export; Finance; Trade; ECA; Banks; Russia;

    Abstract : This paper tries to define the concept of Export Finance and establish if the Export Financing is cost-effective way to raise capital and how is it organized in the Russian Federation. In order to do so, several methods have been used: the related literature has been studied, numerical analysis of economic-efficience of export financing has been prepared based on the real example and three interviews with experts in Export Finance have been conducted. READ MORE

  6. 5. State Equidistant and Time Non-Equidistant Valuation of American Call Options on Stocks With Known Dividends

    University essay from Uppsala universitet/Institutionen för informationsteknologi

    Author : Johan Venemalm; [2014]
    Keywords : Computational Finance; American Call Options; Escrowed Dividend Model; Finite Differences; Time Non-Equidistant Methods;

    Abstract : In computational finance, finite differences are a widely used tool in the valuation of standard derivative contracts. In a lower-dimensional setting, high accuracy and speed often characterize such methods, which gives them a competitive advantage against Monte Carlo methods. READ MORE