Sökning: "Monte-Carlo simulation"
Visar resultat 21 - 25 av 403 uppsatser innehållade orden Monte-Carlo simulation.
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 statistikSammanfattning : 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
22. Simulation Based Methods for Credit Risk Management in Payment Service Provider Portfolios
Master-uppsats, KTH/Matematik (Avd.)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
23. Stochastic Optimization of Asset Management Project Portfolios: A Risk-Informed Approach
Master-uppsats, KTH/Matematik (Avd.)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
24. Determining backgrounds with misidentified leptons in the ATLAS Higgs boson analysis
Master-uppsats, KTH/FysikSammanfattning : 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
25. Option pricing with Quadratic Rough Heston Model
Master-uppsats, Uppsala universitet/Sannolikhetsteori och kombinatorikSammanfattning : 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