Essays about: "stochastic simulation"

Showing result 1 - 5 of 113 essays containing the words stochastic simulation.

  1. 1. An introduction to Multilevel Monte Carlo with applications to options.

    University essay from Umeå universitet/Institutionen för matematik och matematisk statistik

    Author : Kristofer Cronvald; [2019]
    Keywords : Multilevel Monte Carlo; Options; Mathematical finance; Simulation; Stochastic Differential Equations; Computational complexity; Strong convergence; Weak convergence; Euler-Maruyama; Milstein.;

    Abstract : A standard problem in mathematical finance is the calculation of the price of some financial derivative such as various types of options. Since there exists analytical solutions in only a few cases it will often boil down to estimating the price with Monte Carlo simulation in conjunction with some numerical discretization scheme. READ MORE

  2. 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

  3. 3. Stochastic Knock Control for Improved Efficiency

    University essay from Linköpings universitet/Fordonssystem; Linköpings universitet/Fordonssystem

    Author : Jonas Vedin; Robert Widén; [2019]
    Keywords : Knock control; Stochastic knock control; Knock simulation;

    Abstract : Increasing the efficiency and performance of internal combustion engines is always of interest in the automotive industry. One limiting factor to achieve this in gasoline combustion engines is the ignition timing which can not always be set where optimal ignition efficiency and performance is obtained. READ MORE

  4. 4. The Analysis of Results of Stochastic Evacuation Models

    University essay from Lunds universitet/Avdelningen för Brandteknik

    Author : Erik Smedberg; [2019]
    Keywords : Evacuation; Fire safety; Behavioural uncertainty; Evacuation modelling; Evacuation simulation; Pathfinder; Functional analysis; Egress.; Technology and Engineering;

    Abstract : All humans are unique, we have different characteristics and we make different decision. This is a challenge when it comes to modelling human behaviour. The models we design are based on mathematics where there is no room for inconsistencies such that are present in human behaviour. READ MORE

  5. 5. The Swap Market Model with Local Stochastic Volatility

    University essay from KTH/Matematisk statistik

    Author : Mohammed Benmakhlouf Andaloussi; [2019]
    Keywords : ;

    Abstract : Modeling volatility is an intricate part of all financial models and the pricing of derivative contracts. And while local volatility has gained popularity in equity and FX models, it remained neglected in interest rates models. READ MORE