Method Of Least Squares Monte Carlo
Mostrando 1-6 de 6 artigos, teses e dissertações.
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1. Predicting LDPE/HDPE blend composition by CARS-PLS regression and confocal Raman spectroscopy
Abstract Industries and the scientific community currently focus on creating new ways to recycle and to reuse polymer waste that leads to serious socio-environmental risks. However, the quality of recycled polyethylenes depends strongly on their purity degree, but the distinction between Low Density Polyethylene (LDPE) and High Density Polyethylene (HDPE) b
Polímeros. Publicado em: 18/03/2019
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2. Valuation of american interest rate options by the least-squares Monte Carlo method
The purpose of this study is to verify the efficiency and the applicability of the Least-Squares Monte Carlo method for pricing American interest rate options. Results suggest that this technique is apromising alternative to evaluate American-style interest rate options. It provides accurate option price estimates which are very close to results provided by
Pesquisa Operacional. Publicado em: 2011-12
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3. COMPLEX DERIVATIVES VALUATION: APPLYING THE LEAST-SQUARES MONTE CARLO METHOD WITH SEVERAL POLYNOMIAL BASIS / AVALIAÇÃO DE DERIVATIVOS COMPLEXOS: APLICAÇÃO DO MÉTODO DE MÍNIMOS QUADRADOS DE MONTE CARLO COM DIVERSAS BASES POLINOMIAIS
This work aims at studying and applying the Least-Squares Monte Carlo Method by using different polynomial basis - Power, Laguerre, Legendre and Hermite A - in pricing American Asian Options, either call or put. The results found ratify the possibility of an alternated use of several polynomial bases. Besides, each of the experiments is checked for convergen
Publicado em: 2010
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4. EVALUATION METHODOLOGY COMPANY CONSIDERING INTANGIBLE ASSETS THROUGH LEAST SQUARE MONTE CARLO AND MEAN REVERSION / METODOLOGIA DE AVALIAÇÃO DE EMPRESAS CONSIDERANDO ATIVOS INTANGÍVEIS ATRAVÉS DE MÍNIMOS QUADRADOS DE MONTE CARLO E REVERSÃO À MÉDIA
No modelo de Pesquisa e Desenvolvimento (P&D) para o setor farmacêutico, considerando a proteção da patente, Schwartz fez uma contribuição muito importante para a precificação do valor de uma empresa. Alem de considerar a possibilidade dos eventos catastróficos, o autor aplicou uma ferramenta simples, mas ao mesmo tempo bastante poderosa, até então
Publicado em: 2010
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5. Especificação do tamanho da defasagem de um modelo dinâmico
Several techniques are proposed to determine the lag length of a dynamic regression model. However, none of them is completely satisfactory and a wrong choice could imply serious problems in the estimation of the parameters. This dissertation presents a review of the main criteria for models selection used in the classical methodology and presents a way for
Publicado em: 2009
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6. Bayesian and maximum likelihood estimation of SIR stochastic models / Estimação bayesiana e por maxima verossimilhança de modelos SIR estocasticos
Compartmental models have been widely used in order to model epidemics. Several methods have been proposed in the literature to estimate the models, specially, the least squares method, maximum likelihood estimation and Bayes estimators based on Monte Carlo simulation. In the most of real cases, the data are only partially observable. The work considers the
Publicado em: 2009