Assessing Lsmc for the Kt General Real Options Pricing Model PDF Download
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Author: Giuseppe Alesii
Publisher: LAP Lambert Academic Publishing
ISBN: 9783838390451
Category :
Languages : en
Pages : 96
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Book Description
We assess the applicability of (Longstaff and Schwartz, 2001) Least Squares Monte Carlo method to the General Real Options Pricing Model of (Kulatilaka and Trigeorgis, 1994). We study LSMC under six different stochastic processes: GBM, up to three dimensions, models 1, 2 and 3 in (Schwartz, 1997), benchmarking every application by lattice methods. We explore empirically a generalization of proposition 1 page 124 in (Longstaff and Schwartz, 2001) with respect to the number of discretization points, of basis functions and the number of simulated paths. We study the speed precision tradeoff of LSMC individual estimates. Finally, we show their statistical properties.
Author: Giuseppe Alesii
Publisher: LAP Lambert Academic Publishing
ISBN: 9783838390451
Category :
Languages : en
Pages : 96
Get Book Here
Book Description
We assess the applicability of (Longstaff and Schwartz, 2001) Least Squares Monte Carlo method to the General Real Options Pricing Model of (Kulatilaka and Trigeorgis, 1994). We study LSMC under six different stochastic processes: GBM, up to three dimensions, models 1, 2 and 3 in (Schwartz, 1997), benchmarking every application by lattice methods. We explore empirically a generalization of proposition 1 page 124 in (Longstaff and Schwartz, 2001) with respect to the number of discretization points, of basis functions and the number of simulated paths. We study the speed precision tradeoff of LSMC individual estimates. Finally, we show their statistical properties.
Author: James DiLellio
Publisher:
ISBN: 9781521238592
Category :
Languages : en
Pages : 136
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Book Description
The application of option pricing methods, which were initially developed for financially-tradedassets, are now often applied to the valuation of options on real assets. Real options, or optionson real assets, supplements standard discounted cash flow valuation approaches by including thevalue of managerial flexibility. Real Option Modeling and Valuation attempts to bridge the gapbetween theory and practice using the commercially available software program DPL© (DecisionProgramming Language) and Excel® to provide a decision tree approach to valuation using realoptions.
Author: James A. DiLellio
Publisher:
ISBN:
Category : Electronic spreadsheets
Languages : en
Pages : 0
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Book Description
"The application of option pricing methods, which were initially developed for financially-traded assets, are now often applied to the valuation of options on real assets. Real options, or options on real assets, supplements standard discounted cash flow valuation approaches by including the value of managerial flexibility. Real Option Modeling and Valuation attempts to bridge the gap between theory and practice using the commercially available software program DPL© (Decision Programming Language) and Excel® to provide a decision tree approach to valuation using real options.."-- Back cover.
Author: Krikamol Muandet
Publisher:
ISBN: 9781680832884
Category : Computers
Languages : en
Pages : 154
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Book Description
Provides a comprehensive review of kernel mean embeddings of distributions and, in the course of doing so, discusses some challenging issues that could potentially lead to new research directions. The targeted audience includes graduate students and researchers in machine learning and statistics.
Author: Rashmi Avinash Agarwal
Publisher: Springer
ISBN: 9811332819
Category : Technology & Engineering
Languages : en
Pages : 350
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Book Description
This book discusses different aspects of energy consumption and environmental pollution, describing in detail the various pollutants resulting from the utilization of natural resources and their control techniques. It discusses diagnostic techniques in a simple and easy-to-understand manner. It will be useful for engineers, agriculturists, environmentalists, ecologists and policy makers involved in area of pollutants from energy, environmental safety, and health sectors.
Author: Tamás Bányai
Publisher:
ISBN: 9783039216833
Category : Electronic books
Languages : en
Pages : 1
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Book Description
The concept of sustainability is important for companies both in the case of SMEs and worldwide multinational companies. Some key factors to help a company achieve its sustainability objectives are based on human resource management. Sustainable human resource management is a typical cross-functional task that becomes increasingly important at the strategic level of a company. Industry 4.0 technologies, Internet of Things, and competitive demands, as signs of globalization, have led to significant changes across the organizational structures and human resource strategies of companies. The increasing importance of sophisticated human resource strategies in the life of companies and the intention to find optimal design and operation strategies for sustainable human resource management were a motivation for launching this book. This book offers a selection of papers which explain the impact of smart human resource management on economy. Authors from 14 countries published working examples and case studies resulting from their research in this field. The aim of this book is to help students at the level of BSc, MSc, and PhD level, as well as managers and researchers, to understand and appreciate the concept, design, and implementation of sustainable human resource management solutions.
Author: Wim Vanderbauwhede
Publisher: Springer Science & Business Media
ISBN: 1461417910
Category : Technology & Engineering
Languages : en
Pages : 798
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Book Description
High-Performance Computing using FPGA covers the area of high performance reconfigurable computing (HPRC). This book provides an overview of architectures, tools and applications for High-Performance Reconfigurable Computing (HPRC). FPGAs offer very high I/O bandwidth and fine-grained, custom and flexible parallelism and with the ever-increasing computational needs coupled with the frequency/power wall, the increasing maturity and capabilities of FPGAs, and the advent of multicore processors which has caused the acceptance of parallel computational models. The Part on architectures will introduce different FPGA-based HPC platforms: attached co-processor HPRC architectures such as the CHREC’s Novo-G and EPCC’s Maxwell systems; tightly coupled HRPC architectures, e.g. the Convey hybrid-core computer; reconfigurably networked HPRC architectures, e.g. the QPACE system, and standalone HPRC architectures such as EPFL’s CONFETTI system. The Part on Tools will focus on high-level programming approaches for HPRC, with chapters on C-to-Gate tools (such as Impulse-C, AutoESL, Handel-C, MORA-C++); Graphical tools (MATLAB-Simulink, NI LabVIEW); Domain-specific languages, languages for heterogeneous computing(for example OpenCL, Microsoft’s Kiwi and Alchemy projects). The part on Applications will present case from several application domains where HPRC has been used successfully, such as Bioinformatics and Computational Biology; Financial Computing; Stencil computations; Information retrieval; Lattice QCD; Astrophysics simulations; Weather and climate modeling.
Author: Rudolf P. Severns
Publisher:
ISBN: 9780930519001
Category : Technology & Engineering
Languages : en
Pages : 512
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Book Description
Author: Nimish Sanghi
Publisher: Apress
ISBN: 9781484268087
Category : Computers
Languages : en
Pages : 490
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Book Description
Deep reinforcement learning is a fast-growing discipline that is making a significant impact in fields of autonomous vehicles, robotics, healthcare, finance, and many more. This book covers deep reinforcement learning using deep-q learning and policy gradient models with coding exercise. You'll begin by reviewing the Markov decision processes, Bellman equations, and dynamic programming that form the core concepts and foundation of deep reinforcement learning. Next, you'll study model-free learning followed by function approximation using neural networks and deep learning. This is followed by various deep reinforcement learning algorithms such as deep q-networks, various flavors of actor-critic methods, and other policy-based methods. You'll also look at exploration vs exploitation dilemma, a key consideration in reinforcement learning algorithms, along with Monte Carlo tree search (MCTS), which played a key role in the success of AlphaGo. The final chapters conclude with deep reinforcement learning implementation using popular deep learning frameworks such as TensorFlow and PyTorch. In the end, you'll understand deep reinforcement learning along with deep q networks and policy gradient models implementation with TensorFlow, PyTorch, and Open AI Gym. What You'll Learn Examine deep reinforcement learning Implement deep learning algorithms using OpenAI’s Gym environment Code your own game playing agents for Atari using actor-critic algorithms Apply best practices for model building and algorithm training Who This Book Is For Machine learning developers and architects who want to stay ahead of the curve in the field of AI and deep learning.
Author: Yves Achdou
Publisher: SIAM
ISBN: 0898715733
Category : Technology & Engineering
Languages : en
Pages : 308
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Book Description
This book allows you to understand fully the modern tools of numerical analysis in finance.
