Essays about: "wiener process"

Showing result 1 - 5 of 12 essays containing the words wiener process.

  1. 1. Financial Modelling Using Fractional Processes And The Wiener Chaos Expansion

    University essay from KTH/Matematik (Avd.)

    Author : Olof Hummelgren; [2022]
    Keywords : fractional Brownian motion; fBM; applied mathematics; Wiener chaos expansion; Wick product; Hurst parameter; fraktionell Brownsk rörelse; tillämpad matematik; Wiener kaosexpansion; Wickprodukt; Hurstparameter;

    Abstract : The aim of this thesis is to simulate stochastic models that are driven by a fractional Brownian motion process and to apply these methods to financial applications related to yield rate and asset price modelling. Several rough volatility processes are used to model the asset price and yield dynamics. READ MORE

  3. 2. Overview of Bayesian sequential testing for the drift of a Wiener process

    University essay from Uppsala universitet/Tillämpad matematik och statistik

    Author : Aleksander Vogli; [2021]
    Keywords : ;

    Abstract : .... READ MORE

  4. 3. An Analysis of Markov Regime-Switching Models for Weather Derivative Pricing

    University essay from Linköpings universitet/Tillämpad matematik; Linköpings universitet/Tekniska fakulteten

    Author : Fredrik Gerdin Börjesson; [2021]
    Keywords : Weather derivatives; temperature modeling; Markov switching models; Lévy processes; expectation-maximization algorithm; generalized hyperbolic distributions; Monte Carlo simulation;

    Abstract : The valuation of weather derivatives is greatly dependent on accurate modeling and forecasting of the underlying temperature indices. The complexity and uncertainty in such modeling has led to several temperature processes being developed for the Monte Carlo simulation of daily average temperatures. READ MORE

  5. 4. Sensorless Induction Welding of Carbon Fiber Reinforced Plastic Components

    University essay from Lunds universitet/Institutionen för reglerteknik

    Author : Johan Bladh; [2020]
    Keywords : Technology and Engineering;

    Abstract : In this work, a method to estimate the weld-zone temperature during induction welding of carbon fiber reinforced plastics (CFRP) is developed. Today several methods exist to measure, or in other ways ensure, the correct temperature in the weld. READ MORE

  6. 5. Connection between discrete time random walks and stochastic processes by Donsker's Theorem

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

    Author : Zandra Bernergård; [2020]
    Keywords : Donsker’s Theorem; convergence; wiener process; random walk;

    Abstract : In this paper we will investigate the connection between a random walk and a continuous time stochastic process. Donsker's Theorem states that a random walk under certain conditions will converge to a Wiener process. READ MORE