Sökning: "Bert Zwart"

Hittade 1 avhandling innehållade orden Bert Zwart.

1. 1. Topics in importance sampling and derivatives pricing

   Författare :Johan Nykvist; Filip Lindskog; Bert Zwart; KTH; []
   Nyckelord :NATURVETENSKAP; NATURAL SCIENCES; Tillämpad matematik och beräkningsmatematik; Applied and Computational Mathematics;

   Sammanfattning : This thesis consists of four papers, presented in Chapters 2-5, on the topics of derivatives pricing and importance sampling for stochastic processes.In the first paper a model for the evolution of the forward density of the future value of an asset is proposed. LÄS MER