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Lokin, Felix (author)
Financial markets continue to see an increase in the share of trades executed by algorithmic trading systems. A key component of an efficient algorithmic trading system is its ability to accurately estimate the probability an order will be executed: the fill probability. This thesis aims to determine whether the dynamics of the order book can be...
master thesis 2023
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Sleijfer, Josh (author)
Humans are efficient at moving due to their exceptional mastery of bipedal locomotion. Several models have been made that attempt to model the motion of the centre of mass with a spring-mass system with various degree of success. For example, a two dimensional model tracks the height of the centre of mass well and a three dimensional model...
bachelor thesis 2023
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Brus, Daniël (author)
In many fields we are interested in inference for a complex stochastic process given limited observations regarding its state over time. This thesis therefore introduces an expectation propagation approach to backward filtering forward guiding for high-dimensional finite-state space models. The backward filtering forward guiding method is first...
master thesis 2023
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de Groot, Hugo (author)
The salinity profile in a coastal sea-river system is the result of balancing of salt transport due to mixing of the water by tides and the freshwater discharge from the river. When for example during times of drought freshwater discharge suddenly declines, the salinity in the river may increase significantly and threaten drinking water supplies...
bachelor thesis 2023
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Brands, Marnix (author)
The computation of multivariate expectations is a common task in various fields related to probability theory. This thesis aims to develop a generic and efficient solver for multivariate expectation problems, with a focus on its application in the field of quantitative finance, specifically for the quantification of Counterparty Credit Risk (CCR...
master thesis 2023
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Keur, Hans (author)
In biology, phylogenetics is the study of the evolutionary history of and relations between e.g. species. Such data are often represented in trees. Remarkably, trees lack the representation of reticulation events, such as hybridization, while such events are believed to be important. One of the reasons why trees are widely used, is the enormous...
master thesis 2023
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Pomari, Antoine (author)
Coupled mathematical models are used successfully to represent systemic blood flow with different degrees of precision: for example, 3D representations in zones of particular interest (e.g., the aortic bifurcation) are embedded into 1D models who account for systemic blood circulation. When it comes to the lymphatic system, various 1D models for...
master thesis 2022
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Dijkstra, Kevin (author)
Existence of commuting THB-spline projectors is of importance in the field of numerical mathematics. These projectors are required to show that numerical solutions to the abstract Hodge Laplace problem are stable and consistent. We have introduced a local THB-spline projector based on Bezier projection, that commutes in the one-dimensional case....
master thesis 2022
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Veldkamp, Susan (author)
ILP-based solvers that intake a line planning, an infrastructure and a set of constraints and then output a cyclic train timetable have been researched extensively in the world of trains. However, these types of solvers are not able to automatically output a timetable when the problem gets overconstrained and no feasible solution exists.<br/><br...
master thesis 2022
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Sieburgh, Erik (author)
Wave phenomena play an important role in many different applications such as MRI scans, seismology and acoustics [41, 49, 47]. At the core of such applications lies the Helmholtz equation, which represents the time-independent version of the wave equation. Simulating a Helmholtz problem numerically with accurate numerical solutions for large...
master thesis 2022
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CHENG, ZHIMIN (author)
A wide range of practical problems involve computing multi-dimensional integrations. However, in most cases, it is hard to find analytical solutions to these multi-dimensional integrations. Their numerical solutions always suffer from the `curse of dimension', which means the computational complexity grows exponentially with respect to the...
master thesis 2022
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Roest, Raoul (author)
Due to their attractive characteristics, convertible and callable bonds became a more important class of fixed-income products within the financial market. Therefore, the need for fair and accurate pricing of convertible and callable bonds increases. Where the convertible option can be considered as a right for the bondholder, the callable...
master thesis 2022
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ZHANG, ZILIANG (author)
In this work, an efficient compositional framework is developed to simulate CO2 storage in saline aquifers with complex geological geometries during a lifelong injection and migration process. The novelty of the development is that essential physics for CO2 trapping are considered by a parametrization method. <br/>The numerical framework...
master thesis 2022
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Leenders, Mats (author)
The right to use a certain amount of capacity in an electrical cable between two countries for the purpose of trading energy is an asset that can be bought. Each hour of capacity can be seen as a real spread option with the energy prices of each country being the underlying processes. In this thesis we build a model to find the fair value of a...
master thesis 2022
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in 't Veld, Niels (author)
Optimal control is a paradigm for solving optimization problems involving dynamical systems, which are to be controlled. It is able to solve fish harvesting problems, in which we want to optimize harvesting out-take by considering fishing as a control function that acts on the state of the dynamical system, which represents the growth of fish...
master thesis 2022
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Castelijn, Moos (author)
Groundwater is an essential ingredient in farming, knowledge about how this is expected to change over time can help farmers improve yields and save water. Predictions about the groundwater level can be made using a mathematical model. This model takes into account the precipitation and evaporation, the flux towards a deeper aquifer and flux to...
bachelor thesis 2022
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Kokkedee, Diederik (author)
A one-dimensional model of respiratory deposition is developed based on an Eulerian approach. The model simulates aerosol deposition in all generations of the respiratory tract by numerically solving the aerosol general dynamics equation (GDE) for a range of aerosol diameters. The lung geometry is described by Weibel’s morphometric model, with a...
bachelor thesis 2022
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O'Hara, Kian (author)
In light of our depleting fossil fuel reserves and the relatively `cheap' extraction of oil and in spite of the highly nonlinear nature of reservoirs, waterflooding has become big business. In recent times, the use of numerical reservoir simulation has not only become possible but has increasingly been used in the petroleum industry in the...
master thesis 2021
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Hoonhout, Daniel (author)
In this thesis we revisit theoretical background for space­time boundary element methods for the heat equation and its implementation. We restrict ourselves to solving the one­, and two dimensional Dirichlet heat equation. A new approach is proposed to approximate the Galerkin matrix entries in a semianalytical fashion, requiring a reduced order...
master thesis 2021
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Sturm, Obin (author)
Chemical transport models (CTMs) are used to improve our understanding of the complex processes influencing atmospheric composition, as well as provide operational air quality forecasts and model potential future air quality scenarios. Numerical tracers in CTMs track the concentration of chemical species, while operators simulate various...
master thesis 2021
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