Sökning: "Euler approximation"

Visar resultat 1 - 5 av 14 uppsatser innehållade orden Euler approximation.

1. 1. Solving Ordinary Differential Equations and Systems using Neural Network Methods

   Kandidat-uppsats, Karlstads universitet/Institutionen för matematik och datavetenskap (from 2013)

   Författare :Mimmi Westrin; [2023]
   Nyckelord :Neural network methods; trial solutions; numerical methods; Lotka-Volterra system; SEIR model;

   Sammanfattning : The applications of differential equations are many. However, many differential equations modelling real-world scenarios are very complex and it can be of great difficulty to find an exact solution if one even exists. Thus, it is of importance to be able to approximate solutions of differential equations. LÄS MER

3. 2. Numeriska simuleringar av stokastiska differentialekvationer

   Kandidat-uppsats, Göteborgs universitet/Institutionen för matematiska vetenskaper

   Författare :Adam Ivehag; Tom Doran; Joakim Quach; Ludvig Jakobsson; [2021-07-01]
   Nyckelord :;

   Sammanfattning : I detta projekt presenteras grundläggande teori inom studien av stokastiska differential ekvationer (SDE:er) samt ett urval av viktiga metoder för numerisk approximation av lösningar. Detta görs på ett praktiskt vis genom kapitel som ett efter ett presenterar grundläggande begrepp samt underbygger dessa med numeriska exempel. LÄS MER

4. 3. Pricing Put Options with Multilevel Monte Carlo Simulation

   Kandidat-uppsats, Mälardalens högskola/Akademin för utbildning, kultur och kommunikation

   Författare :Jonathan Schöön; [2021]
   Nyckelord :Multilevel Monte Carlo Simulation”; ”European Put Option Pricing” ”Stochastic Differential Equations;

   Sammanfattning : Monte Carlo path simulations are common in mathematical and computational finance as a way of estimating the expected values of a quantity such as a European put option, which is functional to the solution of a stochastic differential equation (SDE). The computational complexity of the standard Monte Carlo (MC) method grows quite large quickly, so in this thesis we focus on the Multilevel Monte Carlo (MLMC) method by Giles, which uses multigrid ideas to reduce the computational complexity. LÄS MER

5. 4. Finite Difference Methods for the Black-Scholes Equation

   Kandidat-uppsats, Mälardalens högskola/Akademin för utbildning, kultur och kommunikation

   Författare :Asima Parveen Saleemi; [2020]
   Nyckelord :Option pricing; Generalised Black-Scholes model; Finite difference methods; Stability; Convergence; Numerical solution;

   Sammanfattning : Financial engineering problems are of great importance in the academic community and BlackScholes equation is a revolutionary concept in the modern financial theory. Financial instruments such as stocks and derivatives can be evaluated using this model. Option evaluation, is extremely important to trade in the stocks. LÄS MER

7. 5. Analytic Approximation of Transition Probabilities

   Kandidat-uppsats, Lunds universitet/Matematisk statistik

   Författare :Jonathan Foley; [2020]
   Nyckelord :Transition Probability; Markov Process; Stochastic Process; Euler Method; Mathematics and Statistics;

   Sammanfattning : A transition probability is essentially a likelihood of ’something random’ transitioning from one state of being to another. Though, more formally, for all intents and purposes, the ’something random’ is a sequence of random events, which is a stochastic process. There are many stochastic processes that are valuable to understand. LÄS MER