Economical numerical methods for solving two-dimensional equations of the black-scholes type
European options on several assets. The Black-Scholes-Merton model. Numerical method. Sparse grid combination technique. Applying the method to the option pricing problem. Solving the transformed equation. Monte Carlo simulations. Bermudan styles.
Discuss a number of procedures that are designed for testing the specification of econometric models, concerned with the numerical properties of these OLS estimates and refer to certain properties of estimates as "numerical" if they have nothing to do.
монография, добавлен 08.03.2014
Transformation of model equations and analysis. The mathematical model that explores the dynamics of the impact of the use of condom and therapeutic treatment simultaneously. Nonlinear differential equation system consisting in groups of the population.
статья, добавлен 20.05.2017
Measurement of potential losses in the value of the asset VaR. Approaches that are used to compute Value at Risk: the variance-covariance approach, the historical and the Monte Carlo simulations. Risk assessment value at risk as a qualitative tool.
эссе, добавлен 29.05.2014
The tools application in the areas: quantitative measures of nonlinear dynamics, Monte-Carlo statistical hypothesis testing, nonlinear modeling. The method of surrogate data. Estimation of correlation dimension. Times series embedding and reconstruction.
книга, добавлен 25.11.2013
Comparison of the results of combining quality indicators presented in verbal-numerical scales (based on the matrix of correspondence between the classes of verbal and numerical equivalence), with the aim of obtaining the scale of complex quality index.
статья, добавлен 29.01.2016
The method of linear programming (simplex method) as the method of systematic improvement and quality management, in particular the formation of grinding compounds, and the use of the resulting models to predict, control and optimize the process.
статья, добавлен 28.09.2016
Justification of the importance of financial analysis of enterprises in the modern market economy. Estimating of the current financial condition of the enterprise using the constructed fuzzy model that implements Mamdani's fuzzy inference method.
статья, добавлен 14.09.2016
Patterns and factors of strategic profiles of enterprises' innovation. The formation model and calculation of criteria of these strategic profiles to select the best option from a set of alternative states which a company might enter through management.
статья, добавлен 27.09.2016
The potential loss in value of a risky asset or portfolio over a defined period for a given confidence interval. Historical and Monte Carlo Simulation. Value at Risk as a risk assessment tool at banks and other financial service firms in the last decade.
эссе, добавлен 25.02.2014
Non-uniform distributions in hotelling model. Decision making under uncertainty and ambiguity in hotelling model. New markets and new products in Hotelling model. Formulation of the problem and motivation. Optima number of demo products.
дипломная работа, добавлен 27.08.2016
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