Sökning: "Antithetic variates"

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  1. 1. Dynamic Credit Models : An analysis using Monte Carlo methods and variance reduction techniques

    Master-uppsats, KTH/Matematisk statistik

    Författare :Emelie Järnberg; [2016]
    Nyckelord :Credit risk; Dynamic credit modelling; Stochastic process; Monte Carlo; Importance sampling; Antithetic variates; Probability matrix method; Default probability; Default event; Variance reduction;

    Sammanfattning : In this thesis, the credit worthiness of a company is modelled using a stochastic process. Two credit models are considered; Merton's model, which models the value of a firm's assets using geometric Brownian motion, and the distance to default model, which is driven by a two factor jump diffusion process. LÄS MER