Sökning: "Antithetic variates"
Hittade 1 uppsats innehållade orden Antithetic variates.
1. Dynamic Credit Models : An analysis using Monte Carlo methods and variance reduction techniques
Master-uppsats, KTH/Matematisk statistikSammanfattning : 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
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