Searched for: subject%3A%22Brownian%255C+motion%22
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Lee, Won Yong (author), Wen, C. (author), Pham, N.H. (author), Khaksaran, Mohammad Hadi (author), Lee, S. (author), Zhang, Shi Li (author)
Tracing fast nanopore-translocating analytes requires a high-frequency measurement system that warrants a temporal resolution better than 1 µs. This constraint may practically shift the challenge from increasing the sampling bandwidth to dealing with the rapidly growing noise with frequencies typically above 10 kHz, potentially making it...
journal article 2024
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Marques da Rocha Feliciano Pereira, Sofia (author)
Barrier options, although highly liquid financial derivatives, present notable pricing challenges. In this thesis, we present a novel pricing approach for valuing continuously-monitored knock-out barrier options within the framework of stochastic volatility models.<br/><br/>The underlying process is firstly modelled under geometric Brownian...
master thesis 2023
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Fokker, Floris (author)
In this thesis, the hydrodynamic limit (HDL) for two trapping models is studied, the Random Waiting Time Model (RWTM) and the fractional kinetics process (FKP), on a discrete lattice Zd . The RWTM is studied for dimension d ≥ 1 and E[wi ],∞where wi denotes the waiting time at position i . On the other hand, the FKP is studied for d ≥ 3 and a...
bachelor thesis 2023
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Wever, Teun (author)
In this research a new method for pricing continuous Arithmetic averaged Asian options is proposed. The computation is based on Fourier-cosine expansion, namely the COS method. Therefore, we derive the characteristic function of Integrated Geometric Brownian Motion based on Bougerol's identity. <br/><br/>Extensive numerical error analysis on the...
master thesis 2023
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Heijnders, Tom (author)
The EAD metric is widely used in the calculations for the capital requirements concerning Counterparty Credit Risk (CCR). In this thesis we compare several methods for calculating this EAD. Basel III gives us two methods, the Standardized Approach for CCR (SA-CCR) and the Internal Model Method (IMM). Furthermore, we introduce an integrated...
master thesis 2023
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Chen, Qianqian (author)
American option pricing has been an active research area in financial engineering over the past few decades. Since no analytic closed-form solution exists, various numerical approaches have been developed. Among all proposed methods, the least square Monte Carlo(LSMC) approach is the most successful and popular. The LSMC utilizes linear...
master thesis 2023
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Miaskiwskyi, L.T. (author)
The subject of this thesis is twofold: The first part is the study of local-to-global principles for the continuous Lie algebra (co-)homology of certain infinite-dimensional Lie algebras of geometric origin, specifically, Gelfand-Fuks cohomology and continuous cohomology of gauge algebras. It includes both an exposition to classical results of...
doctoral thesis 2022
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Mast, Gijs (author)
To fulfil the need in the industry for fast and accurate PFE calculations in practice, a new, semi-analytical method of calculating the PFE metric for CCR has been developed, tested and analyzed in this thesis. Herewith we focus on the calculation of PFEs for liquid IR and FX portfolios involving up to three correlated risk-factors: a domestic...
master thesis 2022
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Krousoratis, Konstantinos (author)
The majority of existing infrastructure assets are ageing, and sooner or later, they will have reached the end of their service life. As a result, many asset owners are confronted with large-scale replacement projects in the coming decades. Annually, they allocate a significant number of resources, but these budgets are never adequate for...
master thesis 2022
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van Gisbergen, Bart (author)
Since the introduction of rough volatility there have been numerous attempts at combining it with existing models in order to better approximate the volatility surface with a low number of parameters. The drawback of rough volatility is usually the time needed to compute a volatility surface. We compare three major rough volatility models and...
master thesis 2022
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Meskers, Marthe (author)
In this thesis, we study the asymptotic behaviour and the dynamics of a one-dimensional active particle model with excluded volume interactions. The model is a version of run-and-tumble motion, where a particle performs both symmetric random walks and active transport. The direction and the speed of the transport are governed by an internal...
bachelor thesis 2021
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Boon, Floor (author)
The interfacial tension is a fundamental property of liquid-liquid systems and governs the mixing potential of two immiscible fluids. For two fluids to form a stable mixture, their interfacial tension needs to be very low. Applications of systems with a low interfacial tension find a plethora of applications: for example, in the food industry,...
master thesis 2020
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Erkan, K.E. (author)
This thesis is about pricing European options using a Fourier-based numerical method called the COS method under the rough Heston model. Besides examining the efficiency and accuracy of the COS method for pricing options under the rough Heston model, it is also investigated if the rough Heston model produces the advantages of the so-called rough...
master thesis 2020
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Hilwerda, Robert (author)
Many firms are occupied with determining the optimal replacement time of machinery. Machine replacement is a complex investment decision that requires the estimation of future cash flows and other parameters. The non-deterministic character of future cash flows has given rise to stochastic models, that take into account this uncertainty. This...
master thesis 2020
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Loozen, G.B. (author), Karuna, A. (author), Rafiee Fanood, M.M. (author), Schreuder, Erik (author), Caro-Schuurman, J. (author)
We realized integrated photonics multi-waveguide devices for optical trapping and Raman spectroscopy of particles in a fluid. In these devices, multiple beams directed towards the device center lead to a local field enhancement around this center and thus counteract the effect of light concentration near the facets, which is a disadvantage of...
journal article 2020
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Saraswat, Yug C. (author), Ibis, F. (author), Rossi, L. (author), Sasso, L. (author), Eral, H.B. (author), Fanzio, P. (author)
Hypothesis: Our ability to dictate the colloid geometry is intimately related to self-assembly. The synthesis of anisotropic colloidal particles is currently dominated by wet chemistry and lithographic techniques. The wet chemical synthesis offers limited particle geometries at bulk quantities. Lithographic techniques, on the other hand,...
journal article 2020
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van den Boomen, M. (author), Bakker, H.L.M. (author), Schraven, D.F.J. (author), Hertogh, M.J.C.M. (author)
In the Netherlands, probabilistic life cycle cash flow forecasting for infrastructures has gained attention in the past decennium. Frequencies, volume and unit prices of life cycle activities are treated as uncertainty variables for which an expert-based triangular distribution is assumed. The current research observes the absence of time...
journal article 2020
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van Gisbergen, Bart (author)
In this thesis a simple model of an active particle was taken, one including a drift according to its internal state. For this model a diffusion coefficient was determined as well as a rate function for the large deviations. This same model is also applied to electrons, although these particles are not active a diffusion coefficient was also...
bachelor thesis 2019
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Kraaij, R.C. (author), Redig, F.H.J. (author), Versendaal, R. (author)
We generalize classical large deviation theorems to the setting of complete, smooth Riemannian manifolds. We prove the analogue of Mogulskii's theorem for geodesic random walks via a general approach using viscosity solutions for Hamilton–Jacobi equations. As a corollary, we also obtain the analogue of Cramér's theorem. The approach also...
journal article 2019
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Amenta, Alex (author), Tolomeo, Leonardo (author)
Given a sequence of complete Riemannian manifolds (Mn) of the same dimension, we construct a complete Riemannian manifold M such that for all p ∈(1,∞) the Lp-norm of the Riesz transform on M dominates the Lpnorm of the Riesz transform on Mn for all n. Thus we establish the following dichotomy: Given p and d, either there is a uniform Lp bound...
journal article 2019
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