Sökning: "Monte-Carlo simulation"

Visar resultat 21 - 25 av 403 uppsatser innehållade orden Monte-Carlo simulation.

1. 21. Multi-factor approximation : An analysis and comparison ofMichael Pykhtin's paper “Multifactor adjustment”

   Uppsats för yrkesexamina på avancerad nivå, Umeå universitet/Institutionen för matematik och matematisk statistik

   Författare :Michael Zanetti; Philip Güzel; [2023]
   Nyckelord :Credit risk; Value at Risk; Expected Shortfall; Monte Carlo simulation; Advanced Internal Rantings-Based models; Kreditrisk; Value at Risk; Expected Shortfall; Monte Carlo simulation; Advanced Internal Rantings-Based-modeller;

   Sammanfattning : The need to account for potential losses in rare events is of utmost importance for corporations operating in the financial sector. Common measurements for potential losses are Value at Risk and Expected Shortfall. These are measures of which the computation typically requires immense Monte Carlo simulations. LÄS MER

3. 22. Simulation Based Methods for Credit Risk Management in Payment Service Provider Portfolios

   Master-uppsats, KTH/Matematik (Avd.)

   Författare :Knut Dahlström; Carl Forssbeck; [2023]
   Nyckelord :Credit Risk; Monte Carlo simulation; Importance Sampling; Merton; Kreditrisk; Monte Carlo simulation; Importance Sampling; Merton;

   Sammanfattning : Payment service providers have unique credit portfolios with different characteristics than many other credit providers. It is therefore important to study if common credit risk estimation methods are applicable to their setting. LÄS MER

4. 23. Stochastic Optimization of Asset Management Project Portfolios: A Risk-Informed Approach

   Master-uppsats, KTH/Matematik (Avd.)

   Författare :Sebastian Persson; Niklas Hansson; [2023]
   Nyckelord :Nuclear asset management; Risk-informed asset management; Portfolio optimization; Project selection; Knapsack problem; Monte Carlo simulation; Conditional Value at Risk; Tillgångsförvaltning; Riskinformerad tillgångsförvaltning; Portföljoptimering; Projekturval; Kappsäcksproblem; Monte Carlo simulering; Conditional Value at Risk;

   Sammanfattning : Asset management within the nuclear industry has become an increasingly relevant topic as safety requirements have tightened and energy security has become more important. Asset management ensures performance and reliability in a nuclear facility by balancing costs, opportunities, and risks to get the most out of assets. LÄS MER

5. 24. Determining backgrounds with misidentified leptons in the ATLAS Higgs boson analysis

   Master-uppsats, KTH/Fysik

   Författare :Leo Qiyuan Hu; [2023]
   Nyckelord :Particle Physics; ATLAS detector; Fake Factor method; Higgs boson; lepton misreconstruction; misidentified events; Partikelfysik; ATLAS detektorn; Fake Factor-metoden; Higgs boson; lepton felrekonstruktion; felidentifierade händelser;

   Sammanfattning : This thesis presents an analysis of misidentified leptons in the Higgs boson decaychannel H → W W ∗ → lνlν. Misidentified leptons, resulting from jets misidentifiedas leptons, mimic the signal of a Higgs boson decay, resulting in a backgroundcontribution to the signal. LÄS MER

7. 25. Option pricing with Quadratic Rough Heston Model

   Master-uppsats, Uppsala universitet/Sannolikhetsteori och kombinatorik

   Författare :Marina Dushkina; [2023]
   Nyckelord :option pricing; rough volatility models; Heston model; Monte Carlo methods; calibration; quadratic rough Heston model; volatility smile;

   Sammanfattning : In this thesis, we study the quadratic rough Heston model and the corresponding simulation methods. We calibrate the model using real-world market data. We compare and implement the three commonly used schemes (Hybrid, Multifactor, and Multifactor hybrid). We calibrate the model using real-world market SPX data. LÄS MER