Sökning: "Sajedeh Saadat"
Hittade 2 uppsatser innehållade orden Sajedeh Saadat.
1. Merton's Portfolio Problem under Jourdain--Sbai Model
Master-uppsats, Mälardalens universitet/Akademin för utbildning, kultur och kommunikationSammanfattning : Portfolio selection has always been a fundamental challenge in the field of finance and captured the attention of researchers in the financial area. Merton's portfolio problem is an optimization problem in finance and aims to maximize an investor's portfolio. LÄS MER
2. Deterministic Quadrature Formulae for the Black–Scholes Model
Kandidat-uppsats, Mälardalens högskola/Akademin för utbildning, kultur och kommunikationSammanfattning : There exist many numerical methods for numerical solutions of the systems of stochastic differential equations. We choose the method of deterministic quadrature formulae proposed by Müller–Gronbach, and Yaroslavtseva in 2016. The idea is to apply a simplified version of the cubature in Wiener space. LÄS MER