Sökning: "William Keith"

Hittade 2 uppsatser innehållade orden William Keith.

1. 1. Bayesian Neural Networks for Financial Asset Forecasting

   Master-uppsats, KTH/Matematisk statistik

   Författare :Alexander Back; William Keith; [2019]
   Nyckelord :Bayesian neural networks; variational inference; Markov chain Monte Carlo; dropout; systematic trading; futures contracts; Bayesianska neurala nätverk; variational inference; Markov chain Monte Carlo; dropout; systematisk trading; terminskontrakt;

   Sammanfattning : Neural networks are powerful tools for modelling complex non-linear mappings, but they often suffer from overfitting and provide no measures of uncertainty in their predictions. Bayesian techniques are proposed as a remedy to these problems, as these both regularize and provide an inherent measure of uncertainty from their posterior predictive distributions. LÄS MER

3. 2. Valuation of Contingent Convertible Bonds

   Kandidat-uppsats, KTH/Matematisk statistik

   Författare :Alexander Back; William Keith; [2016]
   Nyckelord :Contingent Convertible Bonds; Hybrid Capital; Capital Structure; Capital Adequacy Regulation; Basel III; Risk-NeutralValuation;

   Sammanfattning : Contingent convertible bonds are hybrid capital instruments, contingent on some form of indicator of financial distress of the issuing bank. Following the financial crisis, these instruments are proposed as a solution to the moral hazard issue of banks too big to fail. LÄS MER