Sökning: "stokastisk process"

Visar resultat 21 - 25 av 42 uppsatser innehållade orden stokastisk process.

  1. 21. 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. 22. Upper and Lower Bounds for Suprema of Chaos Processes

    Master-uppsats, KTH/Matematik (Avd.)

    Författare :Tim Fuchs; [2018]
    Nyckelord :;

    Sammanfattning : There are diverse techniques of analyzing a stochastic process (Xt)t2T . In the following,Talagrand's generic chaining will be introduced and bounds for the expected supremum E[supt2T Xt] of different stochastic processes proved. LÄS MER

  4. 23. An analysis of the effects of particle amount on the accuracy of particle filter estimations of marginal likelihood

    Kandidat-uppsats, KTH/Skolan för elektroteknik och datavetenskap (EECS)

    Författare :Martin Wass; Thomas Wang; [2018]
    Nyckelord :;

    Sammanfattning : Particle filters are a type of genetic Monte Carlo algorithms that are broadly applied on filtering problems arising in signal processing and Bayesian statistical inference. These type of inference problems are easily modelled as hidden Markov models. LÄS MER

  5. 24. Fake News Mitigation in Social Networks

    Master-uppsats, KTH/Skolan för elektroteknik och datavetenskap (EECS)

    Författare :Remi Lacombe; [2018]
    Nyckelord :;

    Sammanfattning : Fake news is particularly virulent in social networks, where the absence of lters helps itspread quickly. Despite the eorts put forward by the main social network companies, misinformationis still a rampant problem online. LÄS MER

  7. 25. Simulating market maker behaviour using Deep Reinforcement Learning to understand market microstructure

    Master-uppsats, KTH/Skolan för elektroteknik och datavetenskap (EECS)

    Författare :Elwin Marcus; [2018]
    Nyckelord :Deep Reinforcement Learning; Machine Learning; Market Microstructure; Market Maker; Financial Agent; Agent Based Modelling; Financial Artificial Markets; Complex Systems; Algorithmic Trading; Tensorforce; keras-RL; PPO; DQN; Dealer Market; Limit Order book;

    Sammanfattning : Market microstructure studies the process of exchanging assets underexplicit trading rules. With algorithmic trading and high-frequencytrading, modern financial markets have seen profound changes in marketmicrostructure in the last 5 to 10 years. LÄS MER