Sökning: "Monte Carlo pricing method"

Visar resultat 1 - 5 av 13 avhandlingar innehållade orden Monte Carlo pricing method.

  1. 1. Numerical analysis for random processes and fields and related design problems

    Författare :Konrad Abramowicz; Oleg Seleznjev; Krzysztof Podgórski; Umeå universitet; []
    Nyckelord :NATURAL SCIENCES; NATURVETENSKAP; NATURVETENSKAP; NATURAL SCIENCES; stochastic processes; random fields; approximation; numerical integration; Hermite splines; piecewise linear interpolator; local stationarity; point singularity; stratified Monte Carlo quadrature; Asian option; Monte Carlo pricing method; Lévy market models; Mathematical statistics; Matematisk statistik; Mathematical Statistics; matematisk statistik;

    Sammanfattning : In this thesis, we study numerical analysis for random processes and fields. We investigate the behavior of the approximation accuracy for specific linear methods based on a finite number of observations. Furthermore, we propose techniques for optimizing performance of the methods for particular classes of random functions. LÄS MER

  2. 2. Accurate Finite Difference Methods for Option Pricing

    Författare :Jonas Persson; Lina von Sydow; Per Lötstedt; Johan Tysk; Jari Toivanen; Uppsala universitet; []
    Nyckelord :NATURAL SCIENCES; NATURVETENSKAP; NATURVETENSKAP; NATURAL SCIENCES; Finite differences; Option pricing; Adaptive methods; Numerical Analysis; Numerisk analys;

    Sammanfattning : Stock options are priced numerically using space- and time-adaptive finite difference methods. European options on one and several underlying assets are considered. These are priced with adaptive numerical algorithms including a second order method and a more accurate method. LÄS MER

  3. 3. Essays in Quantitative Finance

    Författare :Patrik Karlsson; Nationalekonomiska institutionen; []
    Nyckelord :NATURVETENSKAP; NATURAL SCIENCES; SAMHÄLLSVETENSKAP; SOCIAL SCIENCES; NATURVETENSKAP; SAMHÄLLSVETENSKAP; NATURAL SCIENCES; SOCIAL SCIENCES; credit valuation adjustment CVA ; derivative pricing; interest rate derivatives; Monte Carlo simulation;

    Sammanfattning : This thesis contributes to the quantitative finance literature and consists of four research papers.Paper 1. This paper constructs a hybrid commodity interest rate market model with a stochastic local volatility function that allows the model to simultaneously fit the implied volatility of commodity and interest rate options. LÄS MER

  4. 4. Modelling Weather Dynamics for Weather Derivatives Pricing

    Författare :Emanuel Evarest Sinkwembe; Martin Singull; Xiangfeng Yang; Fredrik Berntsson; Erik Lindström; Linköpings universitet; []

    Sammanfattning : This thesis focuses on developing an appropriate stochastic model for temperature dynamics as a means of pricing weather derivative contracts based on temperature. There are various methods for pricing weather derivatives ranging from simple one like historical burn analysis, which does not involve modeling the underlying weather variable to complex ones that require Monte Carlo simulations to achieve explicit weather derivatives contract prices, particularly the daily average temperature (DAT) dynamics models. LÄS MER

  5. 5. Topics in importance sampling and derivatives pricing

    Författare :Johan Nykvist; Filip Lindskog; Bert Zwart; KTH; []
    Nyckelord :NATURAL SCIENCES; NATURVETENSKAP; 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