Sökning: "Monte Carlo Simulation"

Visar resultat 1 - 5 av 202 uppsatser innehållade orden Monte Carlo Simulation.

  1. 1. Contingent Convertible Bonds. A Market-Conform Equity Derivative Model

    Master-uppsats, Göteborgs universitet/Graduate School

    Författare :Giulia Cesaroni; [2017-07-25]
    Nyckelord :Contingent Convertible Bonds; CoCos; TIER 2; Additional TIER 1; Equity Derivative Model; Bates Model; Stochastic Volatility; Implied Volatility; Jump Diffusion Process; Monte Carlo Simulation; Quadratic Exponential Scheme;

    Sammanfattning : MSc in Finance.... LÄS MER

  2. 2. Pricing contingent convertible bonds: A numerical implementation with the hybrid equity-credit model

    Master-uppsats, Göteborgs universitet/Graduate School

    Författare :Maggie Wan-Chun Bogert; Zhang Zhao; [2017-07-25]
    Nyckelord :Contingent Convertible Bonds; Equity-credit Model; CoCos; Fortet Algorithms; Pricing;

    Sammanfattning : MSc in Finance.... LÄS MER

  3. 3. Simulation of diffusion bridges for stochastic differential equations

    Master-uppsats, Lunds universitet/Matematisk statistik

    Författare :Daniel Damberg; [2017]
    Nyckelord :Diffusionbridge; MarkovchainMonteCarlo; Stochasticdifferentialequation; Linear noise approximation; Mathematics and Statistics;

    Sammanfattning : The simulation of diffusion bridges is a difficult statistical problem, and methods for this are attracting a great deal of attention. Analytically, the conditioning on a future pointintroducesasecondtermtothedriftoftheSDEthatincludesthetransitiondensity of the unconditioned process. LÄS MER

  4. 4. Simulating Human Game Play for Level Difficulty Estimation with Convolutional Neural Networks

    Master-uppsats, KTH/Skolan för informations- och kommunikationsteknik (ICT)

    Författare :Philipp Eisen; [2017]
    Nyckelord :;

    Sammanfattning : This thesis presents an approach to predict the difficulty of levels in a game by simulating game play following a policy learned from human game play. Using state-action pairs tracked from players of the game Candy Crush Saga, we train a Convolutional Neural Network to predict an action given a game state. The trained model then acts as a policy. LÄS MER

  5. 5. Probabilistic Life Cycle Costing : A Monte Carlo Approach for Distribution System Operators in Sweden

    Master-uppsats, KTH/Elektroteknisk teori och konstruktion

    Författare :Tim Ljunggren; [2017]
    Nyckelord :Probabilistic life cycle cost; investment decision; Monte Carlo simulation; Markov Chain; Probabilistisk livscykelkostnad; investeringsbeslut; Monte Carlo-simulering; Markovkedja;

    Sammanfattning : Investments in power systems are characterized by large investment costs and uncertainties doto extended time frame. New consumption patterns in the electricity grid, as well as an aginggrid calls for modernization, new solutions and new investments. LÄS MER


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