Sökning: "Monte Carlo pricing method"

Visar resultat 11 - 14 av 14 avhandlingar innehållade orden Monte Carlo pricing method.

  1. 11. Approximation and Calibration of Stochastic Processes in Finance

    Författare :Jonas Kiessling; Anders Szepessy; Jonathan Goodman; KTH; []
    Nyckelord :NATURVETENSKAP; NATURAL SCIENCES; MATHEMATICS; MATEMATIK;

    Sammanfattning : This thesis is a study of approximation and calibration of stochastic processes with applications in finance. It consists of an introduction and four research papers. The introduction is as an overview of the role of mathematics incertain areas of finance. LÄS MER

  3. 12. Risk-Averse Planning, Operation, and Coordination of Energy Systems Considering Uncertainty Modeling and Flexibility Services

    Författare :Hamed Bakhtiari; Jin Zhong; Manuel Alvarez; Jalal Kazempour; Luleå tekniska universitet; []
    Nyckelord :TEKNIK OCH TEKNOLOGIER; ENGINEERING AND TECHNOLOGY; Power system planning and operation; energy systems coordination; uncertainty modeling; microgrids; renewable energy; Electric Power Engineering; Elkraftteknik;

    Sammanfattning : Uncertainty sources affect the planning and operation of energy systems. Different system operators need proper alternatives to cope with these uncertainties and improve the operation of their systems from technical and economical viewpoints. LÄS MER

  4. 13. Market Models with Stochastic Volatility

    Författare :Jean-Paul Murara; Sergei Silvestrov; Guglielmo D’Amico; Mälardalens högskola; []
    Nyckelord :NATURVETENSKAP; NATURAL SCIENCES; Mathematics Applied Mathematics; matematik tillämpad matematik;

    Sammanfattning : Financial Markets is an interesting wide range area of research in Financial Engineering. In this thesis, which consists of an introduction, six papers and appendices, we deal with market models with stochastic volatility in order to understand some financial derivatives, mainly European options. LÄS MER

  5. 14. Multidimensional Markov-Functional and Stochastic Volatiliy Interest Rate Modelling

    Författare :Linus Kajsajunti; Handelshögskolan i Stockholm; []
    Nyckelord :NATURVETENSKAP; NATURAL SCIENCES;

    Sammanfattning : This thesis consists of three papers in the area of interest rate derivatives modelling. The pricing and hedging of (exotic) interest rate derivatives is one of the most demanding and complex problems in option pricing theory and is of great practical importance in the market. LÄS MER