Sökning: "forward PDE"

Hittade 5 uppsatser innehållade orden forward PDE.

  1. 1. Finite Difference Approximations for Wave Propagation

    Kandidat-uppsats, Linköpings universitet/Tillämpad matematik; Linköpings universitet/Tekniska fakulteten

    Författare :Sebastian Lindqvist; [2022]
    Nyckelord :Finite Difference; Maxwell’s equations; wave propagation; advection equation; partial differential equations;

    Sammanfattning : Finite difference approximations are methods for solving differential equations by approximating derivatives. This work will begin with how to solve a partial differential equation (PDE) called the advection equation, ut + cux = 0. LÄS MER

  3. 2. Evaluation, adaption and implementations of Perfectly Matched Layers in COMSOL Multiphysics

    Master-uppsats, KTH/Numerisk analys, NA

    Författare :Simon Erlandsson; [2020]
    Nyckelord :Applied mathematics; computational mathematics; finite element method; FEM; perfectly matched layer; PML; COMSOL; Tillämpad matematik; beräkningsteknik; finita elementmetoden; FEM; PML; COMSOL;

    Sammanfattning : Perfectly matched layer (PML) is a commonly used method of absorbing waves at a computational boundary for partial differential equation (PDE) problems. In this thesis, methods for improving the usability of implementations in Comsol Multiphysics is addressed. LÄS MER

  4. 3. Numerical solution for derivative models using finite difference methods and how this can be used with Monte Carlo simulation

    Master-uppsats, Lunds universitet/Matematisk statistik

    Författare :Marcus Hallabro; [2019]
    Nyckelord :Finite Difference Method; Option Pricing; Feynman-Kac Rep- resentation; Monte Carlo Simulation; Negative Probabilities.; Mathematics and Statistics;

    Sammanfattning : Derivative models often come in the form of stochastic differential equations. From these equations a partial differential equation (PDE) can be derived. By discretizing the PDE the numerical solution is obtained on a form where the value of the derivative can be seen as a probabilistic weighting of future values. LÄS MER

  5. 4. An Evaluation of Swedish Municipal Borrowing via Nikkei-linked Loans

    Master-uppsats, Linköpings universitet/Produktionsekonomi

    Författare :Robert Constantin; Denis Gerzic; [2018]
    Nyckelord :Municipal borrowing; Nikkei-linked loans; Multi-curve framework; Discounting curves; Forward curves; CVA; Monte Carlo simulation; Structured bond; Black and Scholes PDE; Structured swap;

    Sammanfattning : In this master thesis, we compare three different types of funding alternatives from a Swedish municipality's point of view, with the main focus on analysing a Nikkei-linked loan. We do this by analysing the resulting interest rate and the expected exposures, taking collateral into consideration. LÄS MER

  7. 5. Pricing of American options with discrete dividends using a PDE and a volatility surface while calculating derivatives with automatic differentiation

    Master-uppsats, Linköpings universitet/Produktionsekonomi

    Författare :David Hjelmberg; Björn Lagerström; [2014]
    Nyckelord :American options; BSM PDE; discrete dividends; forward PDE; local volatility surface; automatic differentiation;

    Sammanfattning : In this master thesis we have examined the possibility of pricing multiple American options, on an underlying asset with discrete dividends, with a finite difference method. We have found a good and stable way to price one American option by solving the BSM PDE backwards, while also calculating the Greeks of the option with automatic differentiation. LÄS MER