Download or read book Numerical study to least squares monte carlo method for pricing american options written by 黃惠君 and published by . This book was released on 2003 with total page 102 pages. Available in PDF, EPUB and Kindle. Book excerpt:
Download or read book Numerische Genauigkeit Von Least Squares Monte Carlo written by Marc Furrer and published by . This book was released on 2008 with total page pages. Available in PDF, EPUB and Kindle. Book excerpt: Longstaff und Schwartz (2001) haben eine einfache, aber sehr gute Methode entwickelt um amerikanische Optionen zu bewerten. Die Methode basiert auf Monte Carlo Simulationen und verwendet einfache Regressionsanalysen um die Optionen zu bewerten. Die vorliegende Arbeit untersucht die Genauigkeit der Least Squares Monte Carlo (LSM) Methode. Für die Untersuchung werden die mittels der LSM Methode erhaltenen Werte mit den analytischen Werten gemäss der Black-Scholes Formel verglichen. Die Untersuchung zeigt, dass die LSM Methode ziemlich genaue Resultate liefert.
Download or read book Random Number Generation and Monte Carlo Methods written by James E. Gentle and published by Springer Science & Business Media. This book was released on 2013-03-14 with total page 252 pages. Available in PDF, EPUB and Kindle. Book excerpt: Monte Carlo simulation has become one of the most important tools in all fields of science. This book surveys the basic techniques and principles of the subject, as well as general techniques useful in more complicated models and in novel settings. The emphasis throughout is on practical methods that work well in current computing environments.
Download or read book The Monte Carlo simulation study of model validation by least squares and ridge regression methods written by Bernard Yao-po Su and published by . This book was released on 1977 with total page 142 pages. Available in PDF, EPUB and Kindle. Book excerpt:
Download or read book Approving Least Squares Monte Carlo Approach for Valuing American Options written by Lei Zhang and published by . This book was released on 2004 with total page 284 pages. Available in PDF, EPUB and Kindle. Book excerpt:
Download or read book Monte Carlo and Quasi Monte Carlo Methods 2002 written by Harald Niederreiter and published by Springer Science & Business Media. This book was released on 2011-06-28 with total page 462 pages. Available in PDF, EPUB and Kindle. Book excerpt: This book represents the refereed proceedings of the Fifth International Conference on Monte Carlo and Quasi-Monte Carlo Methods in Scientific Computing which was held at the National University of Singapore in the year 2002. An important feature are invited surveys of the state of the art in key areas such as multidimensional numerical integration, low-discrepancy point sets, computational complexity, finance, and other applications of Monte Carlo and quasi-Monte Carlo methods. These proceedings also include carefully selected contributed papers on all aspects of Monte Carlo and quasi-Monte Carlo methods. The reader will be informed about current research in this very active area.
Download or read book Least Squares Under Heteroskedasticity written by Samar Abbas Lotia and published by . This book was released on 1996 with total page 60 pages. Available in PDF, EPUB and Kindle. Book excerpt:
Download or read book Improving the Least squares Monte Carlo Approach written by Nicki Søndergaard Rasmussen and published by . This book was released on 2002 with total page 65 pages. Available in PDF, EPUB and Kindle. Book excerpt:
Download or read book Least squares Monte Carlo for Backward SDEs written by Christian Bender and published by . This book was released on 2010 with total page pages. Available in PDF, EPUB and Kindle. Book excerpt:
Download or read book A Monte Carlo Study of Orthogonal Least Squares Estimators written by Suat-Hun Go and published by . This book was released on 1970 with total page 58 pages. Available in PDF, EPUB and Kindle. Book excerpt:
Download or read book A Monte Carlo Study of Generalized Three stage Least Squares Estimators written by N. M. Shaikh and published by . This book was released on 1977 with total page pages. Available in PDF, EPUB and Kindle. Book excerpt:
Download or read book Accelerating the Least squares Monte Carlo Methodwith Parallel Computing written by 陳鏡文 and published by . This book was released on 2014 with total page pages. Available in PDF, EPUB and Kindle. Book excerpt:
Download or read book Handbook of Mathematical Geodesy written by Willi Freeden and published by Birkhäuser. This book was released on 2018-06-11 with total page 938 pages. Available in PDF, EPUB and Kindle. Book excerpt: Written by leading experts, this book provides a clear and comprehensive survey of the “status quo” of the interrelating process and cross-fertilization of structures and methods in mathematical geodesy. Starting with a foundation of functional analysis, potential theory, constructive approximation, special function theory, and inverse problems, readers are subsequently introduced to today’s least squares approximation, spherical harmonics reflected spline and wavelet concepts, boundary value problems, Runge-Walsh framework, geodetic observables, geoidal modeling, ill-posed problems and regularizations, inverse gravimetry, and satellite gravity gradiometry. All chapters are self-contained and can be studied individually, making the book an ideal resource for both graduate students and active researchers who want to acquaint themselves with the mathematical aspects of modern geodesy.
Download or read book Historia Scientiarum written by and published by . This book was released on 2002 with total page 548 pages. Available in PDF, EPUB and Kindle. Book excerpt:
Download or read book Numerical Computation 1 written by Christoph W. Ueberhuber and published by Springer Science & Business Media. This book was released on 2012-12-06 with total page 494 pages. Available in PDF, EPUB and Kindle. Book excerpt: This book deals with various aspects of scientific numerical computing. No at tempt was made to be complete or encyclopedic. The successful solution of a numerical problem has many facets and consequently involves different fields of computer science. Computer numerics- as opposed to computer algebra- is thus based on applied mathematics, numerical analysis and numerical computation as well as on certain areas of computer science such as computer architecture and operating systems. Applied Mathemalies I I I Numerical Analysis Analysis, Algebra I I Numerical Computation Symbolic Computation I Operating Systems Computer Hardware Each chapter begins with sample situations taken from specific fields of appli cation. Abstract and general formulations of mathematical problems are then presented. Following this abstract level, a general discussion about principles and methods for the numerical solution of mathematical problems is presented. Relevant algorithms are developed and their efficiency and the accuracy of their results is assessed. It is then explained as to how they can be obtained in the form of numerical software. The reader is presented with various ways of applying the general methods and principles to particular classes of problems and approaches to extracting practically useful solutions with appropriately chosen numerical software are developed. Potential difficulties and obstacles are examined, and ways of avoiding them are discussed. The volume and diversity of all the available numerical software is tremendous.
Download or read book 7th International Munich Chassis Symposium 2016 written by Prof. Dr. Peter E. Pfeffer and published by Springer. This book was released on 2016-08-15 with total page 895 pages. Available in PDF, EPUB and Kindle. Book excerpt: In chassis development, the three aspects of safety, vehicle dynamics and ride comfort are at the top of the list of challenges to be faced. Addressing this triad of challenges becomes even more complex when the chassis is required to interact with assistance systems and other systems for fully automated driving. What is more, new demands are created by the introduction of modern electric and electronic architectures. All these requirements must be met by the chassis, together with its subsystems, the steering, brakes, tires and wheels. At the same time, all physical relationships and interactions have to be taken into account.
Download or read book Identification of Dynamic Systems written by Rolf Isermann and published by Springer. This book was released on 2011-04-08 with total page 705 pages. Available in PDF, EPUB and Kindle. Book excerpt: Precise dynamic models of processes are required for many applications, ranging from control engineering to the natural sciences and economics. Frequently, such precise models cannot be derived using theoretical considerations alone. Therefore, they must be determined experimentally. This book treats the determination of dynamic models based on measurements taken at the process, which is known as system identification or process identification. Both offline and online methods are presented, i.e. methods that post-process the measured data as well as methods that provide models during the measurement. The book is theory-oriented and application-oriented and most methods covered have been used successfully in practical applications for many different processes. Illustrative examples in this book with real measured data range from hydraulic and electric actuators up to combustion engines. Real experimental data is also provided on the Springer webpage, allowing readers to gather their first experience with the methods presented in this book. Among others, the book covers the following subjects: determination of the non-parametric frequency response, (fast) Fourier transform, correlation analysis, parameter estimation with a focus on the method of Least Squares and modifications, identification of time-variant processes, identification in closed-loop, identification of continuous time processes, and subspace methods. Some methods for nonlinear system identification are also considered, such as the Extended Kalman filter and neural networks. The different methods are compared by using a real three-mass oscillator process, a model of a drive train. For many identification methods, hints for the practical implementation and application are provided. The book is intended to meet the needs of students and practicing engineers working in research and development, design and manufacturing.
