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.
Results
Showing 1 to 12 of 12 for “"Least-squares Monte-Carlo"”.
-
Potential Future Exposure in the Presence of Initial Margin
… calculating initial margin considered are nested Monte Carlo, and Gaussian Least Squares Monte Carlo. These two techniques are compared for effectiveness. It is shown that the nested Monte Carlo technique performs well under numerous conditions, and that the Gaussian Least Squares Monte Carlo …
-
Pricing a Bermudan option under the constant elasticity of variance model
… considered are the finite difference method, least squares Monte Carlo method and recursive marginal quantization (RMQ) method. Specific emphasis will be on RMQ, as it is the most recent method. A plain vanilla European option is initially priced using the above mentioned methods, and the …
-
Pricing American/Bermudan-style Options under Stochastic Volatility
… process. The pricing algorithm is based on the least-squares Monte Carlo approach made popular by Longstaff and Schwartz (2001). Information about the volatility of the underlying asset is used to assist in solving the pricing problem. Since volatility is assumed to be a latent, a particle …
-
A Review of Multilevel Monte Carlo Methods
The Monte Carlo method (MC) is a common numerical technique used to approximate an expectation that does not have an analytical solution. For certain problems, MC can be inefficient. Many techniques exist to improve the efficiency of MC methods. The Multilevel Monte Carlo (ML) technique developed …
-
Real options valuation of a power generation project : a Monte Carlo approach
… and the use and valuation of financial options. Monte Carlo simulation is a powerful technique for option valuation, but because of its forward looking nature is normally applied when early exercise is not allowed. In the real economy, this would be limiting because flexibilities that exist are …
-
Exposure modelling under change of measure
… Gaussian Markovian (LGM) measure. A modified Least Squares Monte Carlo (LSM) algorithm, which allows for substantial computational savings, is then introduced in order to approximate contract level exposures under each of the aforementioned probability measures. Finally, a change of measure is …
-
Three Essays in Life Cycle Modelling
… The third essay explores the application of the Least-Squares Monte Carlo (LSMC) method to life-cycle utility-based models in retirement savings, a field where its use has been relatively limited. By comparing LSMC's computational efficiency and accuracy with traditional dynamic programming …
-
Three Essays in Life Cycle Modelling
… The third essay explores the application of the Least-Squares Monte Carlo (LSMC) method to life-cycle utility-based models in retirement savings, a field where its use has been relatively limited. By comparing LSMC's computational efficiency and accuracy with traditional dynamic programming …
-
Modelling electricity price risk for the valuation of power contingent claims : the case of Nord Pool
… used in the market. Finally, we apply a modified Least Squares Monte Carlo algorithm for the pricing of swing options, and investigate the sensitivity of the incremental swing premium to changes of different parameters used to capture the stochastic behaviour of the power spot prices
-
The Design of Resilient Engineering Infrastructure Systems
… the development of a preliminary model using the Least Squares Monte Carlo method adapted for a telecommunications case study. The insights gained from these explorations were then used to drive the synthesis of a novel support method whereby the design for flexibility framework was adapted to …