Global ETD Search
Search theses and dissertations gathered from participating repositories worldwide. Every result links back to the library that holds it. No account is needed.
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Showing 1 to 10 of 10 for “"Computational Finance"”.
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The Hilbert Transform and its Applications in Computational finance
Made available in DSpace on 2011-01-21T22:51:17Z (GMT). No. of bitstreams: 2 Lin_Xiong.pdf: 1453819 bytes, checksum: 4a028ff8177cb78f4dc10f2a70057b95 (MD5) license.txt: 4056 bytes, checksum: 04b9c765a494d563e13d0380d64f98d9 (MD5)
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Numerical singular perturbation approaches based on spline approximation methods for solving problems in computational finance
Options are a special type of derivative securities because their values are derived from the value of some underlying security. Most options can be grouped into either of the two categories: European options which can be exercised only on the expiration date, and American options which can be …
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Cardinality Constrained Optimization Problems
… of areas such as machine learning, statistics, computational finance, and operations management. Despite their practical needs, most optimization problems with a cardinality constraints are hard to solve due to their nonconvexity. We focus on constructing tight convex relaxations to such …
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Statistical Learning with Discrete Structures: Statistical and Computational Perspectives
… learning with discrete structures can be computationally challenging. In this thesis, we explore statistical and computational aspects of statistics estimators (some classical and some new) that can be formulated as discrete optimization problems. In Chapters 2 and 3, we study two …
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Topics in Sparsity and Compression: From High dimensional statistics to Overparametrized Neural Networks
… In the first chapter, motivated by problems in computational finance, we consider a framework for jointly learning time-varying covariance matrices under different structural assumptions (e.g., low-rank, sparsity or a combination of both). We propose novel algorithms for learning these …
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A synergistic reputation-policy based trust model for Grid resource selection
… available esoteric model (GridPP). Based on a computational finance case study, an internal workflow simulation utilises the GREPTrust testbed in order to empirically assess the criteria by which the synergistic reputation-policy based trust model outperforms esoteric trust models regarding …
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Kippenhahn's Conjecture: Counterexamples and Quantisation
… science, in such fields as control theory, computational finance, signal processing, and fluid dynamics, among many others. The particular focus of this work is a fundamental problem in matrix theory, known as Kippenhahn's Conjecture. It was formulated in 1951 by Rudolf Kippenhahn. The …
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Generalised Bayesian matrix factorisation models
… gene expression analysis, information retrieval, computational finance and computer vision, amongst others. This thesis develops generalisations of matrix factorisation models that advance our understanding and enhance the applicability of this important class of models. The generalisation of …
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Reliable numerical simulations of problems for pricing real estate derivatives
The globalisation of nancial systems has presented new challenges to investing in real estate assets. For example, any crisis occurring in one real estate market will have an adverse e ect on other markets regardless of them being vastly geographically distant from each other. This …
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Efficient numerical methods based on integral transforms to solve option pricing problems
In this thesis, we design and implement a class of numerical methods (based on integral transforms) to solve PDEs for pricing a variety of financial derivatives. Our approach is based on spectral discretization of the spatial (asset) derivatives and the use of inverse Laplace transforms to solve …