Essays about: "quasi-Monte Carlo"

Showing result 6 - 10 of 21 essays containing the words quasi-Monte Carlo.

  1. 6. Discrepancy of sequences and error estimates for the quasi-Monte Carlo method

    University essay from Karlstads universitet

    Author : Niklas Vesterinen; [2020]
    Keywords : discrepancy; low discrepancy sequences; van der Corput; quasi-Monte Carlo; Koksma inequality; error estimates; diskrepans; lågdiskrepanstalföljder; van der Corput; kvasi-Monte Carlo; Koksmas olikhet; feluppskattningar;

    Abstract : We present the notions of uniform distribution and discrepancy of sequences contained in the unit interval, as well as an important application of discrepancy in numerical integration by way of the quasi-Monte Carlo method. Some fundamental (and other interesting) results with regards to these notions are presented, along with some detalied and instructive examples and comparisons (some of which not often provided by the literature). READ MORE

  3. 7. Pricing of a balance sheet option limited by a minimum solvency boundary

    University essay from KTH/Matematisk statistik

    Author : Josefine Bofeldt; Sara Joon; [2019]
    Keywords : ;

    Abstract : Pension companies are required by law to remain above a certain solvency level. The main purpose of this thesis is to determine the cost of remaining above a lower solvency level for different pension companies. This will be modelled by an option with a balance sheet as the underlying asset. READ MORE

  4. 8. American Option Price Approximation for Real-Time Clearing

    University essay from Umeå universitet/Institutionen för fysik

    Author : Andreas Blanck; [2018]
    Keywords : Finance; Options; Risk; VaR; Price approximation;

    Abstract : 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

  5. 9. Optimization under parameter uncertainties with application to product cost minimization

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

    Author : Ann-Sofi Kidwell; [2018]
    Keywords : Monte Carlo simulations; Quasi Monte Carlo; Non-linear Optimization; quasi-random sequences; transformer design process;

    Abstract : This report will look at optimization under parameters of uncertainties. It will describe the subject in its wider form, then two model examples will be studied, followed by an application to an ABB product. The Monte Carlo method will be described and scrutinised, with the quasi-Monte Carlo method being favoured for large problems. READ MORE

  6. 10. Quasi-Monte Carlo Integration over Non-Cubical Domains

    University essay from Lunds universitet/Matematisk statistik

    Author : Nilofar Mortazavi; [2017]
    Keywords : Mathematics and Statistics;

    Abstract : Monte Carlo (MQ) method is a powerful tool to approximate high dimensional integrals. The disadvantage of ordinary MQ is the slow convergence rate by cause of the essential randomness of this method. Computations of this convergence can lead to pure time consuming. READ MORE