Sökning: "Monte Carlo methods"

Visar resultat 21 - 25 av 318 uppsatser innehållade orden Monte Carlo methods.

  1. 21. Gradients of the Poisson Equation using a Stochastic Method

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

    Författare :Emil Gestsson; [2023]
    Nyckelord :;

    Sammanfattning : In this report, a recently discovered numerical method has been tested and shown to be viable. The method aims to calculate the gradient of the solution of a bounded Poisson equation, specifically: 1/2 ∇² φ + f |G = 0,   φ(x) |∂G  = 0, (0.1) where G is some open domain. LÄS MER

  3. 22. Värdkapaciteten för elbilsladdning i lokalnätet; Utvärdering av Monte Carlo-metod i PSS®SINCAL

    Uppsats för yrkesexamina på avancerad nivå, Uppsala universitet/Elektricitetslära

    Författare :Alma Nordqvist; [2023]
    Nyckelord :Värdkapacitet; elbilar; elkvalitet; spänningsfall; överbelastning; sincal;

    Sammanfattning : The presence of electric vehicles (EVs) in the passenger car fleet has increased at a rapid rate and the development is predicted to continue in the same direction. The charging of these vehicles predominantely takes place in the owners’ homes and thus increases the households’ demand for electricity - both in terms of the amount of energy and the size of power peaks. LÄS MER

  4. 23. Stochastic Runge–Kutta Lawson Schemes for European and Asian Call Options Under the Heston Model

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

    Författare :Nicolas Kuiper; Martin Westberg; [2023]
    Nyckelord :Runge–Kutta Lawson scheme; Heston model; Black–Scholes model; Stochastic Differential Equation; Euler–Maruyama scheme; Midpoint scheme; Monte Carlo; European Options; Asian Options; Option pricing.;

    Sammanfattning : This thesis investigated Stochastic Runge–Kutta Lawson (SRKL) schemes and their application to the Heston model. Two distinct SRKL discretization methods were used to simulate a single asset’s dynamics under the Heston model, notably the Euler–Maruyama and Midpoint schemes. LÄS MER

  5. 24. Pricing European Options with the Black-Scholes and Monte Carlo Methods: a Comparative Study

    Kandidat-uppsats,

    Författare :Isak Meding; Viking Zandhoff Westerlund; [2022-04-07]
    Nyckelord :Option pricing; Black-Scholes; Monte Carlo simulation; Jump Diffusion process;

    Sammanfattning : Option pricing is a central concept in finance. Since F. Black and M. Scholes in troduced their formula for pricing options in 1973 it has been widely adopted, but it has also been proven to have some limitations in its inherent assumptions and thus subsequent performance. LÄS MER

  7. 25. Modeling Interest Rate Risk in the Banking Book

    Master-uppsats, KTH/Matematik (Avd.)

    Författare :Måns Ulmgren; [2022]
    Nyckelord :applied mathematics; IRRBB; Nelson Siegel; yield curve; tillämpad matematik; IRRBB; Nelson Siegel; avkastningskurva;

    Sammanfattning : For a long time, being able to model and mitigate financial risk has been a key success factor for institutions. Apart from an internal incentive, legal and regulatory requirements continue to develop which increases the need for extensive internal risk control. LÄS MER