Searched for: subject%3A%22options%22
(1 - 20 of 129)

Pages

document
Schuttenbeld, Maarten (author)
This thesis investigates the estimation of option-implied probability density functions for inflation using inflation options, focusing not only on the expected value but the whole distribution. The aim is to identify the most effective method for measuring the market expectation of future inflation. The research explores both parametric and non...
master thesis 2023
document
Bangerter, Felix (author)
This thesis presents a comprehensive exploration of the rough Heston model as a means to enhance financial derivative pricing and calibration in the context of the complex behavior of market volatility. Recognizing the limitations of classical models, such as the Black-Scholes and the standard Heston model, which assume constant or mean...
master thesis 2023
document
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
document
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
document
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
document
Minderhoud, Max (author)
The maritime industry faces a lot of uncertainty, and the energy transition has only increased this uncertainty. Ships will probably have to be converted to an alternative fuel during their lifetime and methanol seems to be the fuel with the most potential for offshore ships. By preparing for this, Design-for-Conversion to methanol, the costs of...
master thesis 2023
document
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
document
Akahori, J. (author), Barsotti, F.B. (author), Imamura, Y. (author)
This paper introduces a methodology to disentangle the hedging error associated with the hedging of exotic derivatives, whose payment time is unknown at inception. We derive the mathematical representation for a one-dimensional setting: we identify and characterize the hedging error and discuss the economic intuition of hedging error as a...
journal article 2023
document
Neufeld, Ariel (author), Papapantoleon, A. (author), Xiang, Qikun (author)
We consider derivatives written on multiple underlyings in a one-period financial market, and we are interested in the computation of model-free upper and lower bounds for their arbitrage-free prices. We work in a completely realistic setting, in that we only assume the knowledge of traded prices for other single- and multi-asset derivatives...
journal article 2023
document
Ye, Chang (author)
Since the first introduction of 4G in the early 2010s, mobile data traffic has increased significantly, mainly because 4G networks can support more devices, services and applications, as well as greater cellular network coverage. With the advent of the 5G era, the mobile communication system will be further developed. Today, most countries and...
master thesis 2022
document
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
document
Rou, Jasper (author)
In this research, we consider neural network-algorithms for option pricing. We use the Black-Scholes model and the lifted Heston model. We derive the option pricing partial differential equation (PDE), which we solve with a neural network, and the conditional characteristic function of the stock price which leads to the option price with the COS...
master thesis 2022
document
Van Mieghem, Laurens (author)
With the emergence of more complex option pricing models, the demand for fast and accurate numerical pricing techniques is increasing. Due to a growing amount of accessible computational power, neural networks have become a feasible numerical method for approximating solutions to these pricing models. This work concentrates on analysing various...
master thesis 2022
document
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
document
van Belzen, Dieko (author)
In the past decades, sustainability has become increasingly important for the construction industry, in particular highway infrastructure, as it can generate both positive and negative impacts on the social and physical environment. As a result of the impact on the environment and the growing awareness of environmental protection, the effects on...
master thesis 2022
document
Claver, Bart (author)
The co-opting of buildings constructed by the Nazi regime is dependent on three different factors: the first is need for a resource that is scarce, the second is circumstance both political as well as economical, and the last is ideology. It is in ideology were the approach between east and west concerning their Nazi legacy greatly differs. For...
student report 2022
document
Liu, S. (author), Grzelak, L.A. (author), Oosterlee, C.W. (author)
We propose an accurate data-driven numerical scheme to solve stochastic differential equations (SDEs), by taking large time steps. The SDE discretization is built up by means of the polynomial chaos expansion method, on the basis of accurately determined stochastic collocation (SC) points. By employing an artificial neural network to learn these...
journal article 2022
document
Easa, Said (author), Raju, Narayana (author), Arkatkar, Shriniwas (author)
Currently, the dilemma and option zones’ failures are independently used to analyze the intergreen interval at signalized intersections. Therefore, the present research work is initiated to integrate these failures. First, the dilemma and option zones are modelled using the first-order second-moment method. Then, game theory is used to model the...
journal article 2022
document
Ge, Zhouxin (author)
Aircraft with disruptive designs have no high-fidelity and accurate flight models. At the same time, developing models for stochastic phenomena for traditional aircraft configurations are costly, and classical control methods cannot operate beyond the predefined operation points or adapt to unexpected changes to the aircraft. The Proximal Policy...
master thesis 2021
document
Pratt, Angus (author)
Infrastructure finds itself at a convoluted juncture. A vast network of problems and choices are to be made, where the right course of action can solve the issues that has befuddled the infrastructure domain. These problems can be briefly described as; ageing assets that are no longer fit for purpose, use of infrastructure as a political tool...
master thesis 2021
Searched for: subject%3A%22options%22
(1 - 20 of 129)

Pages