Identifying options for the multi-terminal expansion of the COBRAcable

A meshed North Sea offshore electricity grid with high renewable energy penetration, as envisioned by the European Commission, is still at its infancy. Currently, point-to-point high-voltage DC interconnections across borders are already being implemented successfully, but the next steps of expanding these interconnectors with additional...

On the pricing of Bermudan swaptions in the multi-curve LIBOR Market Model

The aim of this research is to extend the classical LMM to a multi-curve framework and to analyze the impact of this extended model on the most liquid exotic interest rate derivatives. A possible parametrization for the instantaneous volatility and correlation structure is presented and the (log-)normal dynamics of the OIS rates under different...

Het prijzen van Bitcoin-opties met behulp van sprong-diffusie processen

Pricing American options using the Stochastic Grid Method with Bundling

Pricing American options using a sophisticated technique combining Monte Carlo simulations and least squares regressions. This way an approximation for the option price can be derived with little computational effort.

Maximally Adaptive Nonparametric Importance Sampling

Nowadays, Monte Carlo integration is a popular tool for estimating high-dimensional, complex integrals. Its scope of application can be widened if ways can be found to produce estimates with smaller variance at the same computational cost. Variance reduction techniques aim to accomplish this. In particular, using importance sampling with the so...

An advanced Monte Carlo method for the multi-asset Heston model

In this thesis, an extension of the Heston model to the multi-dimensional case will be investigated. Most attention will be given to design a multi-asset Monte Carlo method, which can efficiently simulate multivariate random variables with almost no bias. The prevention of negative variance in the discretization method will be a challenge, as...

Effiënt schatten van faalkansen onder monotonie - Engelse titel: Efficient estimation of failure probabilities for monotone reliability problems

A more efficient method for the estimation of failure probabilities using monotonicity, a common feature of reliability problems, is presented and evaluted. The method is based on Monte Carlo simulation.

Standard Cell Behavior Analysis and Waveform Set Model for Statistical Static Timing Analysis

As we are moving toward nanometre technology, the variability in the circuit parameters and operating environment (Process, Voltage and Temperature (PVT)) are increasing, causing uncertainty in the circuit performance. Statistical Static Timing Analysis (SSTA) is a category of methodologies to analyse the variations in delay due to PVT...

Effcient Simulation and Valuation of Embedded Options using Monte Carlo Simulations