Cílem práce bylo posouzení vhodné hedgingové strategie pro zajištění měnového rizika akciového portfolia s využitím metody Monte Carlo. Diplomová práce byla rozdělena na

Next, we combine Greek letters with Monte Carlo method, calculate the standard errors from both Delta- hedging Monte Carlo, Delta-Gamma hedging Monte Carlo and naive Monte Carlo to

Keywords— improvement, quality, normal distribution, Monte Carlo simulation, reliability estimation, parameters deviation..

Revision of the data models at the smaller scales will require a tight cooperation between practice (cartographers who make the maps) and the scientists (who probably have

Overview of Monte Carlo Simulation, Probability Review and Introduction to Matlab?. 1 Overview of Monte

Enduring for almost five hundred years, since it was first created in the early sixteenth century by Claude Garamond, a French type designer, it has evolved into numerous

In this study, we apply four Monte Carlo simulation methods, namely, Monte Carlo, quasi-Monte Carlo, multilevel Monte Carlo and multilevel quasi-Monte Carlo to the problem

This is due to the presence of factorial in the denom- inator of the spectrum set (Eq.(1)). The same prob- lem appears when computing the reliability index R, although we

Based on my evaluation, a thorough evaluation of the number of simulations contra basis functions needed in order to achieve good price and hedge esti- mates, I can say with

Forward and lateral velocity components of the motion of the head, abdominal tip and centre of the body (forward component only shown) during the swimming cycle of a Dixella

For heterogeneous wireless sensor networks, many energy efficient clustering protocols are proposed which are based on residual energy, density etc.. We have surveyed

The Valuation of Exotic Barrier Options and American Options using Monte Carlo

The aim of the article is to adapt Monte Carlo sim- ulation method to predict prices of vanilla option contracts and compare them to real observed op- tion prices and to

• @ RISK Monte Carlo simulation is an ideal approach for valuing both real and financial options – most of the books and literature focus on binomial modelling – Excel example

Figure: Monte Carlo Simulation Output for Execution, Delivery and Process Management Category.. Figure: Monte Carlo Simulation Output for Integrated

∗ Credit Suisse; Poisson mixture model – Copula models like the t-copula model. ∗ general family; Gaussian mixture like t-copula

As Kindinger (1999) explains, the individual independent distributions cannot be simply added to obtain the corresponding point-value from the probabilistic sum of

Correlation of Inputs  In Monte Carlo simulation, it’s possible to model. interdependent relationships between