Sökning: "Exotic Derivatives"

Visar resultat 1 - 5 av 7 uppsatser innehållade orden Exotic Derivatives.

1. 1. Differential Deep Learning for Pricing Exotic Financial Derivatives

   Master-uppsats, KTH/Skolan för elektroteknik och datavetenskap (EECS)

   Författare :Erik Alexander Aslaksen Jonasson; [2021]
   Nyckelord :Deep Learning; Exotic Derivatives; Differential Machine Learning;

   Sammanfattning : Calculating the value of a financial derivative is a central problem in quantitative finance. For many exotic derivatives there are no closed-form solutions for present values, instead, computationally expensive Monte Carlo methods are used for valuation. LÄS MER

3. 2. Deep learning exotic derivatives

   Uppsats för yrkesexamina på avancerad nivå, Uppsala universitet/Avdelningen för systemteknik

   Författare :Gunnlaugur Geirsson; [2021]
   Nyckelord :deep learning; neural networks; derivative pricing; automatic differentiation; Monte Carlo; transfer learning; structured products; risk sensitivities; valuation; autocalls;

   Sammanfattning : Monte Carlo methods in derivative pricing are computationally expensive, in particular for evaluating models partial derivatives with regard to inputs. This research proposes the use of deep learning to approximate such valuation models for highly exotic derivatives, using automatic differentiation to evaluate input sensitivities. LÄS MER

4. 3. Optimization of option pricing : - Variance reduction and low-discrepancy techniques

   Kandidat-uppsats, Umeå universitet/Företagsekonomi

   Författare :Julia Larsson; [2020]
   Nyckelord :;

   Sammanfattning : In recent years, the importance and the interest in financial instrument especially derivatives have increased. The Nobel Prize in Economics 1997 was dedicated to Black & Scholes for their work with finding a new method that estimates option prices for Plain Vanilla Options. LÄS MER

5. 4. American Option Price Approximation for Real-Time Clearing

   Uppsats för yrkesexamina på avancerad nivå, Umeå universitet/Institutionen för fysik

   Författare :Andreas Blanck; [2018]
   Nyckelord :Finance; Options; Risk; VaR; Price approximation;

   Sammanfattning : American-style options are contracts traded on financial markets. These are derivatives of some underlying security or securities that in contrast to European-style options allow their holders to exercise at any point before the contracts expire. LÄS MER

7. 5. Exotic Derivatives and Deep Learning

   Master-uppsats, KTH/Matematisk statistik

   Författare :Axel Broström; Richard Kristiansson; [2018]
   Nyckelord :;

   Sammanfattning : This thesis investigates the use of Artificial Neural Networks (ANNs)for calculating present values, Value-at-Risk and Expected Shortfall ofoptions, both European call options and more complex rainbow options. Theperformance of the ANN is evaluated by comparing it to a second-order Taylorpolynomial using pre-calculated sensitivities to certain risk-factors. LÄS MER