Sökning: "Least Squares Monte Carlo"

Visar resultat 11 - 15 av 21 uppsatser innehållade orden Least Squares Monte Carlo.

  1. 11. 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

  3. 12. American Option pricing under Mutiscale Model using Monte Carlo and Least-Square approach

    Kandidat-uppsats, Mälardalens högskola/Utbildningsvetenskap och Matematik

    Författare :Tiffany Bart Adde; Kadek Maya Sri Puspita; [2017]
    Nyckelord :;

    Sammanfattning :    In the finance world, option pricing techniques have become an appealing topic among researchers, especially for pricing American options. Valuing this option involves more factors than pricing the European style one, which makes it more computationally challenging. LÄS MER

  4. 13. Copula selection and parameter estimation in market risk models

    Master-uppsats, KTH/Matematisk statistik

    Författare :Carl Ljung; [2017]
    Nyckelord :;

    Sammanfattning : In this thesis, literature is reviewed for theory regarding elliptical copulas (Gaussian, Student’s t, and Grouped t) and methods for calibrating parametric copulas to sets of observations. Theory regarding model diagnostics is also summarized in the thesis. LÄS MER

  5. 14. Evaluation of Decentralized Information Matrix Fusion for Advanced Driver-Assistance Systems in Heavy-Duty Vehicles

    Master-uppsats, KTH/Optimeringslära och systemteori

    Författare :Viktor Eriksson; [2016]
    Nyckelord :;

    Sammanfattning : Advanced driver-assistance systems (ADAS) is one of the fastest growing areas of automotive electronics and are becoming increasingly important for heavy-duty vehicles. ADAS aims to give the driver the option of handing over all driving decisions and driving tasks to the vehicle, allowing the vehicle to make fully automatic maneuvers. LÄS MER

  7. 15. Regression-Based Monte Carlo For Pricing High-Dimensional American-Style Options

    Master-uppsats, Umeå universitet/Institutionen för fysik

    Författare :Niklas Andersson; [2016]
    Nyckelord :American options; Monte Carlo; Robust Regression; Quasi Monte Carlo; Importance sampling;

    Sammanfattning : Pricing different financial derivatives is an essential part of the financial industry. For some derivatives there exists a closed form solution, however the pricing of high-dimensional American-style derivatives is still today a challenging problem. LÄS MER