Sökning: "numerical approximation"

Visar resultat 1 - 5 av 252 avhandlingar innehållade orden numerical approximation.

  1. 1. Numerical Complexity Analysis of Weak Approximation of Stochastic Differential Equations

    Författare :Raul Tempone Olariaga; KTH; []
    Nyckelord :NATURAL SCIENCES; NATURVETENSKAP; NATURVETENSKAP; NATURAL SCIENCES; Adaptive methods; a posteriori error estimates; stochastic differential equations; weak approximation; Monte Carlo methods; Malliavin Calculus; HJM model; option price; bond market; stochastic elliptic equation; Karhunen-Loeve expansion; numerical co; Numerical analysis; Numerisk analys;

    Sammanfattning : The thesis consists of four papers on numerical complexityanalysis of weak approximation of ordinary and partialstochastic differential equations, including illustrativenumerical examples. Here by numerical complexity we mean thecomputational work needed by a numerical method to solve aproblem with a given accuracy. LÄS MER

  2. 2. Analytical Approximation of Contingent Claims

    Författare :Karl Larsson; Nationalekonomiska institutionen; []
    Nyckelord :SAMHÄLLSVETENSKAP; SOCIAL SCIENCES; SAMHÄLLSVETENSKAP; SOCIAL SCIENCES; Option pricing; approximation; stochastic volatility; implied volatility; perturbation; Malliavin calculus; commodities; swaption; swap; HJM model;

    Sammanfattning : This PhD thesis consists of three separate papers. The common theme is methods to calculate analytical approximations for prices of different contingent claims under various model assumptions. The first two papers deals with approximations of standard European options in stochastic volatility models. LÄS MER

  3. 3. Approximation Algorithms for Geometric Networks

    Författare :Mattias Andersson; Data Vetenskap; []
    Nyckelord :NATURVETENSKAP; NATURAL SCIENCES; NATURVETENSKAP; NATURAL SCIENCES; NATURVETENSKAP; control; systems; numerical analysis; Computer science; Geometric Networks; Computational Geometry; Approximation Algorithms; Datalogi; numerisk analys; system; kontroll; Systems engineering; computer technology; Data- och systemvetenskap;

    Sammanfattning : The main contribution of this thesis is approximation algorithms for several computational geometry problems. The underlying structure for most of the problems studied is a geometric network. LÄS MER

  4. 4. 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

  5. 5. Contributions to Numerical Solution of Stochastic Differential Equations

    Författare :Anders Muszta; Göteborgs universitet; Göteborgs universitet; Gothenburg University; []
    Nyckelord :adaptive method; change of time; CIR model; CKLS model; convergence order; Euler method; heavy-tailed SDE; hyperbolic SDE; geometric integration; global Lipschitz condition; Levy process; Lie group method; local Lipschitz condition; local martingales; mean reversion; Milstein method; numerical method; semimartingale; stochastic differential equation; stochastic Taylor expansion; strong approximation; symplectic integration; volatility induced stationarity; waveform relaxation; volatility induced stationarity;

    Sammanfattning : This thesis consists of four papers: Paper I is an overview of recent techniques in strong numerical solutions of stochastic differential equations, driven by Wiener processes, that have appeared the last then 10 years, or so. Paper II studies theoretical and numerical aspects of stochastic differential equations with so called volatility induced stationarity. LÄS MER