Sökning: "least squares Monte Carlo"

Visar resultat 1 - 5 av 17 uppsatser innehållade orden least squares Monte Carlo.

  1. 1. Fisher Inference and Local Average Treatment Effect: A Simulation study

    Master-uppsats, Uppsala universitet/Statistiska institutionen

    Författare :Iveta Tvaranaviciute; [2020]
    Nyckelord :Randomized experiments; noncompliance; two-stage least squares; weak instruments; Fisher Randomization Test; Neyman-Pearson; statistical power;

    Sammanfattning : This thesis studies inference to the complier treatment effect denoted LATE. The standard approach is to base the inference on the two-stage least squares (2SLS) estimator and asymptotic Neyman inference, i.e., the t-test. LÄS MER

  2. 2. Component-Based Transfer Path Analysis and Hybrid Substructuring at high frequencies : A treatise on error modelling in Transfer Path Analysis

    Master-uppsats, KTH/Maskinkonstruktion (Avd.)

    Författare :Harikrishnan Venugopal; [2020]
    Nyckelord :Dynamic Substructuring; Error modelling; Transfer Path Analysis; Uncertainty Propagation; Dynamisk substrukturering; Feluppskattning; Överföringsanalys; Osäkerhetspropagering;

    Sammanfattning : The field of modal testing and analysis is currently facing a surge of interest in error modelling. Several errors which occur during testing campaigns are modelled analytically or numerically and propagated to various system coupling and interface reduction routines effectively. LÄS MER

  3. 3. 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

  4. 4. 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

  5. 5. 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