Sökning: "Monte Carlo simulation"

Visar resultat 1 - 5 av 289 uppsatser innehållade orden Monte Carlo simulation.

  1. 1. Kryptovalutors betydelse i framtida portföljer

    Kandidat-uppsats,

    Författare :Tobias Frisell; Mattias Wahman; [2020-10-12]
    Nyckelord :Cryptocurrency; Bitcoin; Bloomberg Galaxy Crypto Index; Portfolio optimization; Monte-Carlo simulation; Sharpe Ratio; Diversification;

    Sammanfattning : The aim of this thesis is to examine whether cryptocurrencies should be included in future investment portfolios or not. This thesis not only focuses on Bitcoin, but also uses the Bloomberg Galaxy Crypto Index to represent the cryptocurrency market as a whole. LÄS MER

  2. 2. Delayed-acceptance approximate Bayesian computation Markov chain Monte Carlo: faster simulation using a surrogate model

    Master-uppsats, Göteborgs universitet/Institutionen för matematiska vetenskaper

    Författare :Andrea Krogdal; [2020-01-09]
    Nyckelord :ABC; MCMC; delayed acceptance; DA; surrogate model;

    Sammanfattning : The thesis introduces an innovative way of decreasing the computational cost of approximateBayesian computation (ABC) simulations when implemented via Markovchain Monte Carlo (MCMC). Bayesian inference has enjoyed incredible success sincethe beginning of 1990’s thanks to the re-discovery of MCMC procedures, and theavailability of performing personal computers. LÄS MER

  3. 3. Quantum statistics and the magnetocaloric effect

    Kandidat-uppsats, Uppsala universitet/Materialteori

    Författare :Anna Sandberg; [2020]
    Nyckelord :quantum statistics; magnetocaloric effect; magnetocaloric; magnetic cooling; simulation;

    Sammanfattning : Caloric materials show prospect in replacing the function of vaporcompression systems in todays cooling devices, resulting in more energy efficient cooling and eliminating the need for refrigerents which contribute to climate change. This project has focused on magnetocaloric materials, which experience changes in temperature when exposed to magnetic fields. LÄS MER

  4. 4. Stochastic Settlement Model Including Creep Effects : Simulation of Groundwater Induced Subsidence

    Master-uppsats, KTH/Hållbar utveckling, miljövetenskap och teknik; KTH/Hållbar utveckling, miljövetenskap och teknik

    Författare :Pierre Wikby; Ragnar Andersson; [2020]
    Nyckelord :creep settlement; secondary compression; geotechnical uncertainty; EMBANKCO; groundwater drawdown; time-dependent settlement model; krypsättningar; Sekundärkompression; geoteknisk osäkerhet; EMBANKCO; grundvattensänkning; tidsberoende sättningsmodell;

    Sammanfattning : When underground openings are constructed, groundwater inflow can occur, which might lead to ground settlements, namely in clay. In these types of construction projects, it is beneficial to be able to quantify risks related to these settlements. A framework developed by Sundell et al. (2019, Risk Analysis, Vol. LÄS MER

  5. 5. Implied volatility expansion under the generalized Heston model

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

    Författare :Hanna Andersson; Ying Wang; [2020]
    Nyckelord :Heston model; Generalized Heston model; implied volatility; implied volatility expansion; Black–Scholes; Monte Carlo method; European options;

    Sammanfattning : In this thesis, we derive a closed-form approximation to the implied volatility for a European option, assuming that the underlying asset follows the generalized Heston model. A new para- meter is added to the Heston model which constructed the generalized Heston model. LÄS MER