Sökning: "Nollrumsrepresentationer"

Hittade 1 uppsats innehållade ordet Nollrumsrepresentationer.

  1. 1. Convergence Properties for Different Null Space Bases When Solving the Initial Margin Optimization Problem Using CMA-ES

    Master-uppsats, KTH/Matematisk statistik

    Författare :Jacob Barnholdt; Filip Carlsson; [2020]
    Nyckelord :Financial mathematics; CMA-ES; Optimization; Initial Margin; Null space representations; Finansiell matematik; CMA-ES; Optimering; Initial Margin; Nollrumsrepresentationer;

    Sammanfattning : This thesis evaluates how the evolutionary algorithm CMA-ES (Covariance Matrix Adaption Evolution Strategy) can be used for optimizing the total initial margin for a network of banks trading bilateral OTC derivatives. The algorithm is a stochastic method for optimization of non-linear and, but not limited to, non-convex functions. LÄS MER