Sökning: "Brownian"

Visar resultat 16 - 20 av 101 uppsatser innehållade ordet Brownian.

  1. 16. Numerical Analysis of Yield Curves Implied by Two-Factor Interest Rate Models

    Master-uppsats, Göteborgs universitet/Institutionen för matematiska vetenskaper

    Författare :Veronika Chronholm; [2021-06-15]
    Nyckelord :;

    Sammanfattning : Abstract We investigate the yield curves implied by coupon bonds in models where the market short rate is given by a two-factor stochastic model. Specifically, we investigate generalisations of the two-factor Vasicek, Cox-Ingersoll-Ross, and mixed models where the two Brownian motions that feature in each model are allowed to have nonzero constant correlation. LÄS MER

  3. 17. Option Modelling by Deep Learning

    Kandidat-uppsats, Göteborgs universitet/Institutionen för nationalekonomi med statistik

    Författare :Niclas Klausson; Victor Tisell; [2021-02-10]
    Nyckelord :Deep learning; deep hedging; generative adversial networks; arbitrage pricing;

    Sammanfattning : In this thesis we aim to provide a fully data driven approach for modelling financial derivatives, exclusively using deep learning. In order for a derivatives model to be plausible, it should adhere to the principle of no-arbitrage which has profound consequences on both pricing and risk management. LÄS MER

  4. 18. Extraction of gating mechanisms from Markov state models of a pentameric ligand-gated ion channel

    Master-uppsats, KTH/Proteinvetenskap

    Författare :Dimitrios Karalis; [2021]
    Nyckelord :GLIC; Markov state models MSMs ; KL divergence; Machine Learning ML ; pentameric ligand-gated ion channel pLGIC ; channel gating;

    Sammanfattning : GLIC är en pH-känslig pentamerisk ligandstyrd jonkanal (pLGIC) som finns i cellmembranet hos prokaryoten Gloeobacter violaceus. GLIC är en bakteriell homolog till flera receptorer som är viktiga i nervsystemet hos de flesta eukaryotiska organismer. LÄS MER

  5. 19. Simultaneous Bayesian parameter estimation and particle-tracking including calculation of mis-linking probabilities

    Magister-uppsats, Lunds universitet/Institutionen för astronomi och teoretisk fysik - Genomgår omorganisation

    Författare :Lennart Golks; [2021]
    Nyckelord :Physics and Astronomy;

    Sammanfattning : Since 1994 super-resolution microscopes enable us to visualize processes in the nanome- ter regime where bio-molecules work. Consequently, there is a great need for methods analyzing the generated data to transfer the motion of molecules, seen as white dots, into trajectories. LÄS MER

  7. 20. Pricing in the Heston Model and Its Rough Variation

    Master-uppsats, KTH/Matematik (Avd.)

    Författare :Otto Sellerstam; [2021]
    Nyckelord :;

    Sammanfattning : This thesis presents the theoretical material needed to price European call options in the classical and rough version of the Heston model, as well as how to do this in practice from a computational perspective. The theoretical material includes an introduction to measure theory, which is then used to build the foundations of probability theory and stochastic calculus, together with more novel topics such as fractional calculus and a short exposition of the fractional Brownian motion. LÄS MER