Sökning: "least squares Monte Carlo"

Visar resultat 1 - 5 av 15 uppsatser innehållade orden least squares Monte Carlo.

  1. 1. Least Squares Monte Carlo-metoden & korgoptioner : En kvantitativ studie

    Master-uppsats, Umeå universitet/Institutionen för matematik och matematisk statistik

    Författare :Måns Sandin; [2019]
    Nyckelord :Risk; LSMC; Finans; Riskhantering; Monte Carlo-simulering; Least Squares Monte Carlo; Optioner; Korgoptioner;

    Sammanfattning : Inom bank och försäkringsbranschen finns behov av framtidsprognoser och riskmått kopplade till finansiella instrument. För att skapa prisfördelningar, som kan användas som grund till olika riskmått, används ibland nästlad simulering. LÄS MER

  2. 2. Efficient Monte Carlo Simulation for Counterparty Credit Risk Modeling

    Master-uppsats, KTH/Matematisk statistik

    Författare :Sam Johansson; [2019]
    Nyckelord :CCR; OTC derivatives; European option; Bermudan option; CVA; jump-diffusion model; stochastic intensity model; Monte Carlo; variance reduction; importance sampling; least squares Monte Carlo; CCR; OTC-derivat; europeisk option; Bermuda-option; CVA; jump-diffusion-modell; stokastisk intensitetsmodell; Monte Carlo; variansreduktion; importance sampling; least squares Monte Carlo;

    Sammanfattning : In this paper, Monte Carlo simulation for CCR (Counterparty Credit Risk) modeling is investigated. A jump-diffusion model, Bates' model, is used to describe the price process of an asset, and the counterparty default probability is described by a stochastic intensity model with constant intensity. LÄS MER

  3. 3. Asset and Liability Management: Optimization using Least-Squares Monte Carlo

    Master-uppsats, Lunds universitet/Matematisk statistik

    Författare :Sanna Brandel; [2018]
    Nyckelord :Asset and liability management; Solvency capital requirement; least-squares Monte Carlo; nested Monte Carlo simulation; risk-adjusted net asset value; mean-variance optimization; Mathematics and Statistics;

    Sammanfattning : This thesis aims to examine an efficient asset and liability management method under Solvency II regulations, and to find an optimization framework that takes complex interactions between assets and liabilities into account. The investigated approach consists of a least-squares Monte Carlo method, where least-squares regression is used to obtain a proxy function for future net asset values. LÄS MER

  4. 4. American Option Price Approximation for Real-Time Clearing

    Uppsats för yrkesexamina på avancerad nivå, Umeå universitet/Institutionen för fysik

    Författare :Andreas Blanck; [2018]
    Nyckelord :Finance; Options; Risk; VaR; Price approximation;

    Sammanfattning : American-style options are contracts traded on financial markets. These are derivatives of some underlying security or securities that in contrast to European-style options allow their holders to exercise at any point before the contracts expire. LÄS MER

  5. 5. Application and Evaluation of Artificial Neural Networks in Solvency Capital Requirement Estimations for Insurance Products

    Master-uppsats, KTH/Matematisk statistik; KTH/Matematisk statistik

    Författare :Mattias Nilsson; Erik Sandberg; [2018]
    Nyckelord :;

    Sammanfattning : The least squares Monte Carlo (LSMC) approach is commonly used in the estimation of the solvency capital requirement (SCR), as a more computationally efficient alternative to a full nested Monte Carlo simulation. This study compares the performance of artificial neural networks (ANNs) to that of the LSMC approach in the estimation of the SCR of various financial portfolios. LÄS MER