Sökning: "Price approximation"

Visar resultat 1 - 5 av 38 uppsatser innehållade orden Price approximation.

  1. 1. Daily Profit Decomposition from Fluctuations in Interest Rates and Exchange Rates Extended with Inventory

    Master-uppsats, Linköpings universitet/Produktionsekonomi

    Författare :Jonathan Törnquist; Rinor Zylfijaj; [2022]
    Nyckelord :Profit decomposition; inventory; term structures; foreign exchange risk principal component analysis.; Vinstnedbrytning; lager; terminsstruktur; valutarisk principalkomponentanalys.;

    Sammanfattning : Multinational companies have consistently not been able to explain the impact currency and interest rates fluctuations have on their profits. To be able to account for these effects, thorough visibility is required. Epiroc Örebro is a global supplier of products and services within mining and infrastructure, with sales in more than 150 countries. LÄS MER

  3. 2. Pricing Complex derivatives under the Heston model

    Master-uppsats, KTH/Matematik (Avd.)

    Författare :Omar Naim; [2021]
    Nyckelord :Stochastic volatility Model; Heston Model; Calibration; Financial derivatives; Stokastisk volatilitetsmodell; Heston modell; kalibrering; finansiella derivat;

    Sammanfattning : The calibration of model parameters is a crucial step in the process of valuation of complex derivatives. It consists of choosing the model parameters that correspond to the implied market data especially the call and put prices. LÄS MER

  4. 3. Energieffektivisering av falsvärmesystem i vattenkraftverk

    Uppsats för yrkesexamina på avancerad nivå, Luleå tekniska universitet/Institutionen för teknikvetenskap och matematik

    Författare :Hanna Bäck; [2021]
    Nyckelord :Falsvärme; Utskovsluckor; Isfrihållning; Energieffektivisering; Vattenkraftverk;

    Sammanfattning : För att undvika att dammluckor vid vattenkraftverk fryser fast under vintern är det vanligt med värme kring luckorna där uppvärmningen sköts av ett falsvärmesystem. Falsvärmesystemen saknar energimätning men har med sin relativt höga installerade effekt antagits ha en betydande inverkan på den interna energianvändningen. LÄS MER

  5. 4. Deep learning exotic derivatives

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

    Författare :Gunnlaugur Geirsson; [2021]
    Nyckelord :deep learning; neural networks; derivative pricing; automatic differentiation; Monte Carlo; transfer learning; structured products; risk sensitivities; valuation; autocalls;

    Sammanfattning : Monte Carlo methods in derivative pricing are computationally expensive, in particular for evaluating models partial derivatives with regard to inputs. This research proposes the use of deep learning to approximate such valuation models for highly exotic derivatives, using automatic differentiation to evaluate input sensitivities. LÄS MER

  7. 5. The umbrella term Industry 4.0 and the digitization of the industry : A qualitative study on the progress of Swedish companies

    Master-uppsats, Linköpings universitet/Institutionen för datavetenskap

    Författare :Tim Hellberg; Filip Ström; [2021]
    Nyckelord :industry 4.0; smart factories; internet of things; industrial internet of things; cloud; big data; monitoring; interview; qualitative study;

    Sammanfattning : The umbrella term industry 4.0 stands for the ongoing integration of modern smart technologies in industrial settings. The implementation of the technologies it covers has been an ongoing process for a decade. However, there is a huge variation in companies adaptation of these technologies and progress is slow. LÄS MER