Sökning: "Numerical methods"

Visar resultat 1 - 5 av 535 uppsatser innehållade orden Numerical methods.

  1. 1. Deep Learning and the Heston Model:Calibration & Hedging

    Kandidat-uppsats, Göteborgs universitet/Institutionen för nationalekonomi med statistik

    Författare :Oliver Klingberg Malmer; Victor Tisell; [2020-07-03]
    Nyckelord :deep learning; deep hedging; deep calibration; option pricing; stochastic volatilty; Heston model; S P 500 index options; incomplete markets; transaction costs;

    Sammanfattning : The computational speedup of computers has been one of the de ning characteristicsof the 21st century. This has enabled very complex numerical methods for solving existingproblems. As a result, one area that has seen an extraordinary rise in popularity over the lastdecade is what is called deep learning. LÄS MER

  2. 2. Efficient Calculations of Two-Dimensional Radar Cross-Section Using DGFEM

    Uppsats för yrkesexamina på avancerad nivå, Uppsala universitet/Avdelningen för beräkningsvetenskap

    Författare :Daniel Persson; [2020]
    Nyckelord :numerical methods; DGFEM; discontinuous Galerkin; finite element method;

    Sammanfattning : A two-dimensional discontinuous Galerkin finite element method algorithm in the time domain was developed for calculation of the radar cross-section of an arbitrary object. The algorithm was formed using local nodal basis functions in each element and coupling them via numerical upwind flux. LÄS MER

  3. 3. Option Pricing and Early Exercise Boundary of American Options under Markov-Modulated Volatility

    Uppsats för yrkesexamina på grundnivå, Mälardalens högskola/Akademin för utbildning, kultur och kommunikation

    Författare :Danny Zina; [2020]
    Nyckelord :Pricing American Options; Early Exercise Boundary; Markov-Modulated Volatility; Switching-State Volatility; Extended CRR Model.;

    Sammanfattning : The CRR binomial model is one of the most important models in financial mathematics. In this thesis we consider an extension to this model with Markov switching-state volatility. We present a detailed algorithm for obtaining early exercise boundaries for American options, as well as, fair prices for both American and European options. LÄS MER

  4. 4. Cross-comparison of Non-Linear Seismic Assessment Methods for Unreinforced Masonry Structures in Groningen

    Master-uppsats, KTH/Betongbyggnad; KTH/Betongbyggnad

    Författare :Viktor Peterson; Zihao Wang; [2020]
    Nyckelord :Non-linear time-history analysis; non-linear pushover analysis; N2- method; equivalent frame model; continuum model; numerical seismic assessment; unreinforced masonry buildings iv;

    Sammanfattning : A large amount of low-rise unreinforced masonry structures (URM) can be foundin Groningen, the Netherlands. More and more induced earthquakes with shortduration have been detected in this region due to gas exploitation. LÄS MER

  5. 5. Assessment Based on Indicators of the Sustainable Development Goals in Spain : A Data Science Approach

    Master-uppsats, KTH/Maskinkonstruktion (Inst.)

    Författare :Carlos de Miguel Ramos; [2020]
    Nyckelord :SDG; correlation; regression; SDG; korrelation; regression;

    Sammanfattning : The global sustainable development has been marked by the United Nations plans for more than two decades. These plans have been adopted by most of the developed and developing countries to achieve the 2030 Agenda, currently formed by the 17 Sustainable Development Goals. LÄS MER