Sökning: "Multilevel Monte Carlo simulation"

Visar resultat 1 - 5 av 7 uppsatser innehållade orden Multilevel Monte Carlo simulation.

1. 1. Improved Statistical Methods for Elliptic Stochastic Homogenization Problems : Application of Multi Level- and Multi Index Monte Carlo on Elliptic Stochastic Homogenization Problems

   Kandidat-uppsats, Uppsala universitet/Tillämpad beräkningsvetenskap

   Författare :Khalil Daloul; [2023]
   Nyckelord :Homogenization; Multilevel Monte Carlo; Multi-Index Monte Carlo; Monte Carlo; Multiscale methods;

   Sammanfattning : In numerical multiscale methods, one relies on a coupling between macroscopic model and a microscopic model. The macroscopic model does not include the microscopic properties that the microscopic model offers and that are vital for the desired solution. LÄS MER

3. 2. Den historiskt bästa Formel-1 föraren

   Kandidat-uppsats, Lunds universitet/Statistiska institutionen

   Författare :Claes Croneborg; Viktor Sjöberg; [2023]
   Nyckelord :Formula One; Multilevel-Model; Beta-Regression; Bayesian Estimation; Monte-Carlo simulation; Markov Chain; Statistics.; Business and Economics; Mathematics and Statistics;

   Sammanfattning : It is difficult to definitively say who the greatest Formula One driver is. It is a subjective assessment and can depend on a variety of factors, including the driver’s skill, their results and accomplishments, their team and car, and the era in which they competed. LÄS MER

4. 3. Pricing Put Options with Multilevel Monte Carlo Simulation

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

   Författare :Jonathan Schöön; [2021]
   Nyckelord :Multilevel Monte Carlo Simulation”; ”European Put Option Pricing” ”Stochastic Differential Equations;

   Sammanfattning : Monte Carlo path simulations are common in mathematical and computational finance as a way of estimating the expected values of a quantity such as a European put option, which is functional to the solution of a stochastic differential equation (SDE). The computational complexity of the standard Monte Carlo (MC) method grows quite large quickly, so in this thesis we focus on the Multilevel Monte Carlo (MLMC) method by Giles, which uses multigrid ideas to reduce the computational complexity. LÄS MER

5. 4. Multilevel Monte Carlo Simulation for American Option Pricing

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

   Författare :Sabina Colakovic; Viktor Ågren; [2021]
   Nyckelord :Multilevel Monte Carlo simulation; Stochastic Differential Equations; Option pricing.;

   Sammanfattning : In this thesis, we center our research around the analytical approximation of American put options with the Multilevel Monte Carlo simulation approach. The focus lies on reducing the computational complexity of estimating an expected value arising from a stochastic differential equation. LÄS MER

7. 5. An introduction to Multilevel Monte Carlo with applications to options.

   Kandidat-uppsats, Umeå universitet/Institutionen för matematik och matematisk statistik

   Författare :Kristofer Cronvald; [2019]
   Nyckelord :Multilevel Monte Carlo; Options; Mathematical finance; Simulation; Stochastic Differential Equations; Computational complexity; Strong convergence; Weak convergence; Euler-Maruyama; Milstein.;

   Sammanfattning : A standard problem in mathematical finance is the calculation of the price of some financial derivative such as various types of options. Since there exists analytical solutions in only a few cases it will often boil down to estimating the price with Monte Carlo simulation in conjunction with some numerical discretization scheme. LÄS MER