Zobrazeno 1 - 10
of 72
pro vyhledávání: '"Monte Carlo-metoder"'
Evaluating Markov Chain Monte Carlo Methods for Estimating Systemic Risk Measures Using Vine Copulas
Autor:
Guterstam, Rasmus, Trojenborg, Vidar
This thesis attempts to evaluate the Markov Chain Monte Carlo (MCMC) methods Metropolis-Hastings (MH) and No-U-Turn Sampler (NUTS) to estimate systemic risk measures. The subject of analysis is an equity portfolio provided by a Nordic asset managemen
Externí odkaz:
http://urn.kb.se/resolve?urn=urn:nbn:se:kth:diva-304674
Autor:
Wrede, Simon
Threat modeling for information technology infrastructure can be done using shortest path algorithms in stochastic graphs. By modeling the infrastructure as a graph, potential vulnerabilities may be presented by computing what paths an attacker might
Externí odkaz:
http://urn.kb.se/resolve?urn=urn:nbn:se:liu:diva-178160
Autor:
Guterstam, Rasmus, Trojenborg, Vidar
This thesis attempts to evaluate the Markov Chain Monte Carlo (MCMC) methods Metropolis-Hastings (MH) and No-U-Turn Sampler (NUTS) to estimate systemic risk measures. The subject of analysis is an equity portfolio provided by a Nordic asset managemen
Externí odkaz:
https://explore.openaire.eu/search/publication?articleId=dedup_wf_001::9908d657a378d81a5b6011b63407e991
http://urn.kb.se/resolve?urn=urn:nbn:se:kth:diva-304674
http://urn.kb.se/resolve?urn=urn:nbn:se:kth:diva-304674
Autor:
Häglund, Emil
Online advertising presents a complex environment. The vast amount of available websites, platforms and formats as well as the trend of programmatic adpurchasing makes assessing a proposed advertisement in terms of cost and expected return challengin
Externí odkaz:
http://urn.kb.se/resolve?urn=urn:nbn:se:kth:diva-282826
Autor:
Häglund, Emil
Online advertising presents a complex environment. The vast amount of available websites, platforms and formats as well as the trend of programmatic adpurchasing makes assessing a proposed advertisement in terms of cost and expected return challengin
Externí odkaz:
https://explore.openaire.eu/search/publication?articleId=dedup_wf_001::4957ea06b81d0f0d3468321ae66eba0e
http://urn.kb.se/resolve?urn=urn:nbn:se:kth:diva-282826
http://urn.kb.se/resolve?urn=urn:nbn:se:kth:diva-282826
Autor:
Ahmed, Ilyas
Pricing American style options is challenging due to early exercise opportunities. The conditional expectation in the Snell envelope, known as the continuation value is approximated by basis functions in the Least-Square Monte Carlo-algorithm, giving
Externí odkaz:
http://urn.kb.se/resolve?urn=urn:nbn:se:kth:diva-193080
Autor:
Andersson, Håkan
Denna uppsats försöker utvärdera olika strategier för variansreduktion som används vid prissättning av finansiella optioner med Monte Carlo-simulering. Inom finans och teoretisk prissättning av optioner har det varit en enorm mängd forskning.
Externí odkaz:
http://urn.kb.se/resolve?urn=urn:nbn:se:kth:diva-140698
Autor:
Öijar Jansson, Emma
Radars operating at sea encounter a common phenomenon known as sea clutter, characterized by undesired reflections originating from the sea surface. This phenomenon can significantly impair the radar’s capacity to detect small, slow-moving targets.
Externí odkaz:
http://urn.kb.se/resolve?urn=urn:nbn:se:kth:diva-346705
Autor:
Broms, Philip
This thesis investigates the effects of power-law correlated disorder on a three-dimensional XY model and the Weinrib-Halperin disorder relevance criterion’s pre-dictive ability. Ising models are used as a map to realise disorder couplings. Simula-
Externí odkaz:
http://urn.kb.se/resolve?urn=urn:nbn:se:kth:diva-319562
Autor:
Broms, Philip
This thesis investigates the effects of power-law correlated disorder on a three-dimensional XY model and the Weinrib-Halperin disorder relevance criterion’s pre-dictive ability. Ising models are used as a map to realise disorder couplings. Simula-
Externí odkaz:
https://explore.openaire.eu/search/publication?articleId=od_______260::8be4141dbb491e7334caac97a1156dec
http://urn.kb.se/resolve?urn=urn:nbn:se:kth:diva-319562
http://urn.kb.se/resolve?urn=urn:nbn:se:kth:diva-319562