Sökning: "Least Squares Monte Carlo"
Visar resultat 11 - 15 av 21 uppsatser innehållade orden Least Squares Monte Carlo.
11. Application and Evaluation of Artificial Neural Networks in Solvency Capital Requirement Estimations for Insurance Products
Master-uppsats, KTH/Matematisk statistikSammanfattning : 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
12. American Option pricing under Mutiscale Model using Monte Carlo and Least-Square approach
Kandidat-uppsats, Mälardalens högskola/Utbildningsvetenskap och MatematikSammanfattning : 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
13. Copula selection and parameter estimation in market risk models
Master-uppsats, KTH/Matematisk statistikSammanfattning : 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
14. Evaluation of Decentralized Information Matrix Fusion for Advanced Driver-Assistance Systems in Heavy-Duty Vehicles
Master-uppsats, KTH/Optimeringslära och systemteoriSammanfattning : 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
15. Regression-Based Monte Carlo For Pricing High-Dimensional American-Style Options
Master-uppsats, Umeå universitet/Institutionen för fysikSammanfattning : 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