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Hittade 5 uppsatser som matchar ovanstående sökkriterier.

  1. 1. GPU-Accelerated Monte Carlo Geometry Processing for Gradient-Domain Methods

    Master-uppsats, Linköpings universitet/Medie- och Informationsteknik; Linköpings universitet/Tekniska fakulteten

    Författare :Linus Mossberg; [2021]
    Nyckelord :Monte Carlo; geometry processing; partial differential equations; Poisson equation; seamless image editing; distance field; importance sampling; random walk on spheres;

    Sammanfattning : This thesis extends the utility of the Monte Carlo approach to PDE-based methods presented in the paper Monte Carlo Geometry Processing. In particular, we implement this method on the GPU using CUDA, and investigate more viable methods of estimating the source integral when solving Poisson’s equation with intricate source terms. LÄS MER

  3. 2. Numerisk prissättning av exotiska optioner

    Kandidat-uppsats, Göteborgs universitet/Institutionen för matematiska vetenskaper

    Författare :Kasper Bågmark; Emil Carlsson; Victor Ebberstein; Nadja Grochevaia; Carl Söderpalm; [2019-06-26]
    Nyckelord :;

    Sammanfattning : This paper examines Asian, lookback and barrier options of European style on the time interval [0; T], where T is the time of maturity. The purpose is to investigate numerical methods to compute their price within the Black-Scholes model. 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. Stochastic Partial Differential Equations with Multiplicative Noise - Numerical simulations of strong and weak approximation errors

    Master-uppsats, Göteborgs universitet/Institutionen för matematiska vetenskaper

    Författare :Andreas Petersson; [2015-06-23]
    Nyckelord :;

    Sammanfattning : A finite element Galerkin spatial discretization together with a backward Euler scheme is implemented to simulate strong error rates of the homogeneous stochastic heat equation with multiplicative trace class noise in one dimension. For the noise, two different operators displaying different degrees of regularity are considered, one of which is of Nemytskii type. LÄS MER

  7. 5. Pricing Timer Options under Jump-Diffusion Processes

    Master-uppsats, Lunds universitet/Matematisk statistik

    Författare :Janis Müller; [2014]
    Nyckelord :Mathematics and Statistics;

    Sammanfattning : Timer options are relatively new exotic options with the feature that they expire as soon as the accumulated realized variance exceeds a predefined level. This construction leads to a random time to maturity instead of having a fixed exercise day. LÄS MER