Sökning: "LSMC"

Visar resultat 1 - 5 av 6 uppsatser innehållade ordet LSMC.

  1. 1. American option prices and optimal exercise boundaries under Heston Model–A Least-Square Monte Carlo approach

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

    Författare :Omar Mohammad; Rafi Khaliqi; [2020]
    Nyckelord :options; pricing; american; Monte-Carlo; Least square; heston model; stochastic; volatility; early exercise boundary volatility;

    Sammanfattning : Pricing American options has always been problematic due to its early exercise characteristic. As no closed-form analytical solution for any of the widely used models exists, many numerical approximation methods have been proposed and studied. LÄS MER

  3. 2. Least Squares Monte Carlo-metoden & korgoptioner : En kvantitativ studie

    Master-uppsats, Umeå universitet/Institutionen för matematik och matematisk statistik

    Författare :Måns Sandin; [2019]
    Nyckelord :Risk; LSMC; Finans; Riskhantering; Monte Carlo-simulering; Least Squares Monte Carlo; Optioner; Korgoptioner;

    Sammanfattning : Inom bank och försäkringsbranschen finns behov av framtidsprognoser och riskmått kopplade till finansiella instrument. För att skapa prisfördelningar, som kan användas som grund till olika riskmått, används ibland nästlad simulering. LÄS MER

  4. 3. Asset and Liability Management: Optimization using Least-Squares Monte Carlo

    Master-uppsats, Lunds universitet/Matematisk statistik

    Författare :Sanna Brandel; [2018]
    Nyckelord :Asset and liability management; Solvency capital requirement; least-squares Monte Carlo; nested Monte Carlo simulation; risk-adjusted net asset value; mean-variance optimization; Mathematics and Statistics;

    Sammanfattning : This thesis aims to examine an efficient asset and liability management method under Solvency II regulations, and to find an optimization framework that takes complex interactions between assets and liabilities into account. The investigated approach consists of a least-squares Monte Carlo method, where least-squares regression is used to obtain a proxy function for future net asset values. LÄS MER

  5. 4. Application and Evaluation of Artificial Neural Networks in Solvency Capital Requirement Estimations for Insurance Products

    Master-uppsats, KTH/Matematisk statistik

    Författare :Mattias Nilsson; Erik Sandberg; [2018]
    Nyckelord :;

    Sammanfattning : The least squares Monte Carlo (LSMC) approach is commonly used in the estimation of the solvency capital requirement (SCR), as a more computationally efficient alternative to a full nested Monte Carlo simulation. This study compares the performance of artificial neural networks (ANNs) to that of the LSMC approach in the estimation of the SCR of various financial portfolios. LÄS MER

  7. 5. Estimation, model selection and evaluation of regression functions in a Least-squares Monte-Carlo framework

    Master-uppsats, Linköpings universitet/Produktionsekonomi; Linköpings universitet/Tekniska högskolan

    Författare :Johan Danielsson; Gustav Gistvik; [2014]
    Nyckelord :LSMC; Least Squares Monte-Carlo; Solvency; SCR; Regression;

    Sammanfattning : This master thesis will investigate one solution to the problem issues with nested stochastic simulation arising when the future value of a portfolio need to be calculated. The solution investigated is the Least-squares Monte-Carlo method, where regression is used to obtain a proxy function for the given portfolio value. LÄS MER