Дисертації з теми "Stochastic block models"
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Paltrinieri, Federico. "Modeling temporal networks with dynamic stochastic block models." Master's thesis, Alma Mater Studiorum - Università di Bologna, 2019. http://amslaurea.unibo.it/18805/.
Повний текст джерелаCorneli, Marco. "Dynamic stochastic block models, clustering and segmentation in dynamic graphs." Thesis, Paris 1, 2017. http://www.theses.fr/2017PA01E012/document.
Повний текст джерелаThis thesis focuses on the statistical analysis of dynamic graphs, both defined in discrete or continuous time. We introduce a new extension of the stochastic block model (SBM) for dynamic graphs. The proposed approach, called dSBM, adopts non homogeneous Poisson processes to model the interaction times between pairs of nodes in dynamic graphs, either in discrete or continuous time. The intensity functions of the processes only depend on the node clusters, in a block modelling perspective. Moreover, all the intensity functions share some regularity properties on hidden time intervals that need to be estimated. A recent estimation algorithm for SBM, based on the greedy maximization of an exact criterion (exact ICL) is adopted for inference and model selection in dSBM. Moreover, an exact algorithm for change point detection in time series, the "pruned exact linear time" (PELT) method is extended to deal with dynamic graph data modelled via dSBM. The approach we propose can be used for change point analysis in graph data. Finally, a further extension of dSBM is developed to analyse dynamic net- works with textual edges (like social networks, for instance). In this context, the graph edges are associated with documents exchanged between the corresponding vertices. The textual content of the documents can provide additional information about the dynamic graph topological structure. The new model we propose is called "dynamic stochastic topic block model" (dSTBM).Graphs are mathematical structures very suitable to model interactions between objects or actors of interest. Several real networks such as communication networks, financial transaction networks, mobile telephone networks and social networks (Facebook, Linkedin, etc.) can be modelled via graphs. When observing a network, the time variable comes into play in two different ways: we can study the time dates at which the interactions occur and/or the interaction time spans. This thesis only focuses on the first time dimension and each interaction is assumed to be instantaneous, for simplicity. Hence, the network evolution is given by the interaction time dates only. In this framework, graphs can be used in two different ways to model networks. Discrete time […] Continuous time […]. In this thesis both these perspectives are adopted, alternatively. We consider new unsupervised methods to cluster the vertices of a graph into groups of homogeneous connection profiles. In this manuscript, the node groups are assumed to be time invariant to avoid possible identifiability issues. Moreover, the approaches that we propose aim to detect structural changes in the way the node clusters interact with each other. The building block of this thesis is the stochastic block model (SBM), a probabilistic approach initially used in social sciences. The standard SBM assumes that the nodes of a graph belong to hidden (disjoint) clusters and that the probability of observing an edge between two nodes only depends on their clusters. Since no further assumption is made on the connection probabilities, SBM is a very flexible model able to detect different network topologies (hubs, stars, communities, etc.)
Vallès, Català Toni. "Network inference based on stochastic block models: model extensions, inference approaches and applications." Doctoral thesis, Universitat Rovira i Virgili, 2016. http://hdl.handle.net/10803/399539.
Повний текст джерелаEl estudio de las redes del mundo real han empujado hacia la comprensión de sistemas complejos en una amplia gama de campos como la biología molecular y celular, la anatomía, la neurociencia, la ecología, la economía y la sociología . Sin embargo, el conocimiento disponible de muchos sistemas reales aún es limitado, por esta razón el poder predictivo de la ciencia en redes se debe mejorar para disminuir la brecha entre conocimiento y información. Para abordar este tema usamos la familia de 'Stochastic Block Modelos' (SBM), una familia de modelos generativos que está ganando gran interés recientemente debido a su adaptabilidad a cualquier tipo de red. El objetivo de esta tesis es el desarrollo de nuevas metodologías de inferencia basadas en SBM que perfeccionarán nuestra comprensión de las redes complejas. En primer lugar, investigamos en qué medida hacer un muestreo sobre modelos puede mejorar significativamente la capacidad de predicción a considerar un único conjunto óptimo de parámetros. Seguidamente, aplicamos el método mas predictivo en una red real particular: una red basada en las interacciones/suturas entre los huesos del cráneo humano en recién nacidos. Concretamente, descubrimos que las suturas cerradas a causa de una enfermedad patológica en recién nacidos son menos probables, desde un punto de vista morfológico, que las suturas cerradas bajo un desarrollo normal. Concretamente, descubrimos que las suturas cerradas a causa de una enfermedad patológica en recién nacidos son menos probables, desde un punto de vista morfológico, que las suturas cerradas bajo un desarrollo normal. Recientes investigaciones en las redes multicapa concluye que el comportamiento de las redes en una sola capa son diferentes a las de múltiples capas; por otra parte, las redes del mundo real se nos presentan como redes con una sola capa. La parte final de la tesis está dedicada a diseñar un nuevo enfoque en el que dos SBM separados describen simultáneamente una red dada que consta de una sola capa, observamos que esta metodología predice mejor que la metodología de un SBM solo.
The study of real-world networks have pushed towards to the understanding of complex systems in a wide range of fields as molecular and cell biology, anatomy, neuroscience, ecology, economics and sociology. However, the available knowledge from most systems is still limited, hence network science predictive power should be enhanced to diminish the gap between knowledge and information. To address this topic we handle with the family of Stochastic Block Models (SBMs), a family of generative models that are gaining high interest recently due to its adaptability to any kind of network structure. The goal of this thesis is to develop novel SBM based inference approaches that will improve our understanding of complex networks. First, we investigate to what extent sampling over models significatively improves the predictive power than considering an optimal set of parameters alone. Once we know which model is capable to describe better a given network, we apply such method in a particular real world network case: a network based on the interactions/sutures between bones in newborn skulls. Notably, we discovered that sutures fused due to a pathological disease in human newborn were less likely, from a morphological point of view, that those sutures that fused under a normal development. Recent research on multilayer networks has concluded that the behavior of single-layered networks are different from those of multilayer ones; notwhithstanding, real world networks are presented to us as single-layered networks. The last part of the thesis is devoted to design a novel approach where two separate SBMs simultaneously describe a given single-layered network. We importantly find that it predicts better missing/spurious links that the single SBM approach.
Arastuie, Makan. "Generative Models of Link Formation and Community Detection in Continuous-Time Dynamic Networks." University of Toledo / OhioLINK, 2020. http://rave.ohiolink.edu/etdc/view?acc_num=toledo1596718772873086.
Повний текст джерелаJunuthula, Ruthwik Reddy. "Modeling, Evaluation and Analysis of Dynamic Networks for Social Network Analysis." University of Toledo / OhioLINK, 2018. http://rave.ohiolink.edu/etdc/view?acc_num=toledo1544819215833249.
Повний текст джерелаGulikers, Lennart. "Sur deux problèmes d’apprentissage automatique : la détection de communautés et l’appariement adaptatif." Thesis, Paris Sciences et Lettres (ComUE), 2017. http://www.theses.fr/2017PSLEE062/document.
Повний текст джерелаIn this thesis, we study two problems of machine learning: (I) community detection and (II) adaptive matching. I) It is well-known that many networks exhibit a community structure. Finding those communities helps us understand and exploit general networks. In this thesis we focus on community detection using so-called spectral methods based on the eigenvectors of carefully chosen matrices. We analyse their performance on artificially generated benchmark graphs. Instead of the classical Stochastic Block Model (which does not allow for much degree-heterogeneity), we consider a Degree-Corrected Stochastic Block Model (DC-SBM) with weighted vertices, that is able to generate a wide class of degree sequences. We consider this model in both a dense and sparse regime. In the dense regime, we show that an algorithm based on a suitably normalized adjacency matrix correctly classifies all but a vanishing fraction of the nodes. In the sparse regime, we show that the availability of only a small amount of information entails the existence of an information-theoretic threshold below which no algorithm performs better than random guess. On the positive side, we show that an algorithm based on the non-backtracking matrix works all the way down to the detectability threshold in the sparse regime, showing the robustness of the algorithm. This follows after a precise characterization of the non-backtracking spectrum of sparse DC-SBM's. We further perform tests on well-known real networks. II) Online two-sided matching markets such as Q&A forums and online labour platforms critically rely on the ability to propose adequate matches based on imperfect knowledge of the two parties to be matched. We develop a model of a task / server matching system for (efficient) platform operation in the presence of such uncertainty. For this model, we give a necessary and sufficient condition for an incoming stream of tasks to be manageable by the system. We further identify a so-called back-pressure policy under which the throughput that the system can handle is optimized. We show that this policy achieves strictly larger throughput than a natural greedy policy. Finally, we validate our model and confirm our theoretical findings with experiments based on user-contributed content on an online platform
Kasinos, Stavros. "Seismic response analysis of linear and nonlinear secondary structures." Thesis, Loughborough University, 2018. https://dspace.lboro.ac.uk/2134/33728.
Повний текст джерелаLudkin, Matthew Robert. "The autoregressive stochastic block model with changes in structure." Thesis, Lancaster University, 2017. http://eprints.lancs.ac.uk/125642/.
Повний текст джерелаŠigut, Jiří. "Modely oceňování opcí se stochastickou volatilitou." Master's thesis, Vysoká škola ekonomická v Praze, 2012. http://www.nusl.cz/ntk/nusl-150113.
Повний текст джерелаBartoň, Ľuboš. "Oceňovanie opcií so stochastickou volatilitou." Master's thesis, Vysoká škola ekonomická v Praze, 2010. http://www.nusl.cz/ntk/nusl-77823.
Повний текст джерелаTabouy, Timothée. "Impact de l’échantillonnage sur l’inférence de structures dans les réseaux : application aux réseaux d’échanges de graines et à l’écologie." Thesis, Université Paris-Saclay (ComUE), 2019. http://www.theses.fr/2019SACLS289/document.
Повний текст джерелаIn this thesis we are interested in studying the stochastic block model (SBM) in the presence of missing data. We propose a classification of missing data into two categories Missing At Random and Not Missing At Random for latent variable models according to the model described by D. Rubin. In addition, we have focused on describing several network sampling strategies and their distributions. The inference of SBMs with missing data is made through an adaptation of the EM algorithm : the EM with variational approximation. The identifiability of several of the SBM models with missing data has been demonstrated as well as the consistency and asymptotic normality of the maximum likelihood estimators and variational approximation estimators in the case where each dyad (pair of nodes) is sampled independently and with equal probability. We also looked at SBMs with covariates, their inference in the presence of missing data and how to proceed when covariates are not available to conduct the inference. Finally, all our methods were implemented in an R package available on the CRAN. A complete documentation on the use of this package has been written in addition
Saleh, Ali, and Ahmad Al-Kadri. "Option pricing under Black-Scholes model using stochastic Runge-Kutta method." Thesis, Mälardalens högskola, Akademin för utbildning, kultur och kommunikation, 2021. http://urn.kb.se/resolve?urn=urn:nbn:se:mdh:diva-53783.
Повний текст джерелаTodeschi, Tiziano. "Calibration of local-stochastic volatility models with neural networks." Master's thesis, Alma Mater Studiorum - Università di Bologna, 2021. http://amslaurea.unibo.it/23052/.
Повний текст джерелаPaulin, Carl, and Maja Lindström. "Option pricing models: A comparison between models with constant and stochastic volatilities as well as discontinuity jumps." Thesis, Umeå universitet, Institutionen för matematik och matematisk statistik, 2020. http://urn.kb.se/resolve?urn=urn:nbn:se:umu:diva-172226.
Повний текст джерелаSyftet med denna tes är att jämföra prissättningsmodeller för optioner. Vi har undersökt de konstanta volatilitetsmodellerna Black-Scholes-Merton (BSM) och Merton’s Jump Diffusion (MJD) samt de stokastiska volatilitetsmodellerna Heston och Bates. Datat vi använt är optionspriser från Microsoft, Advanced Micro Devices Inc, Walt Disney Company och S&P 500 indexet. Datat delades upp i en träningsmängd och en test- mängd. Träningsdatat användes för parameterkalibrering med hänsyn till varje modell. Testdatat användes för att jämföra modellpriser med priser som observerats på mark- naden. Parameterkalibreringen för varje modell utfördes genom att använda den icke- linjära minsta-kvadratmetoden. Med hjälp av de kalibrerade parametrarna kunde priset räknas ut genom att använda Carr och Madan-metoden. Vi kunde se att de stokastiska volatilitetsmodellerna, Heston och Bates, replikerade marknadens optionspriser bättre än båda de konstanta volatilitetsmodellerna, MJD och BSM för de flesta dataseten. Medelvärdet av det relativa medelvärdesfelet i procent för Heston och Bates beräknades till 2.26% respektive 2.17%. För Merton och BSM beräknades medelvärdet av det relativa medelvärdesfelet i procent till 6.90% respektive 5.45%. Vi anser därför att en stokastisk volatilitetsmodell är att föredra framför en konstant volatilitetsmodell för att prissätta optioner.
Gokgoz, Ismail Hakki. "Stochastic Credit Default Swap Pricing." Master's thesis, METU, 2012. http://etd.lib.metu.edu.tr/upload/12614921/index.pdf.
Повний текст джерелаMerton and Black-Cox constant barrier. Finally, we conclude our work with some inferences and proposals.
Manzini, Muzi Charles. "Stochastic Volatility Models for Contingent Claim Pricing and Hedging." Thesis, University of the Western Cape, 2008. http://etd.uwc.ac.za/index.php?module=etd&action=viewtitle&id=gen8Srv25Nme4_8197_1270517076.
Повний текст джерелаThe present mini-thesis seeks to explore and investigate the mathematical theory and concepts that underpins the valuation of derivative securities, particularly European plainvanilla options. The main argument that we emphasise is that novel models of option pricing, as is suggested by Hull and White (1987) [1] and others, must account for the discrepancy observed on the implied volatility &ldquo
smile&rdquo
curve. To achieve this we also propose that market volatility be modeled as random or stochastic as opposed to certain standard option pricing models such as Black-Scholes, in which volatility is assumed to be constant.
Rafiou, AS. "Foreign Exchange Option Valuation under Stochastic Volatility." University of the Western Cape, 2009. http://hdl.handle.net/11394/7777.
Повний текст джерелаThe case of pricing options under constant volatility has been common practise for decades. Yet market data proves that the volatility is a stochastic phenomenon, this is evident in longer duration instruments in which the volatility of underlying asset is dynamic and unpredictable. The methods of valuing options under stochastic volatility that have been extensively published focus mainly on stock markets and on options written on a single reference asset. This work probes the effect of valuing European call option written on a basket of currencies, under constant volatility and under stochastic volatility models. We apply a family of the stochastic models to investigate the relative performance of option prices. For the valuation of option under constant volatility, we derive a closed form analytic solution which relaxes some of the assumptions in the Black-Scholes model. The problem of two-dimensional random diffusion of exchange rates and volatilities is treated with present value scheme, mean reversion and non-mean reversion stochastic volatility models. A multi-factor Gaussian distribution function is applied on lognormal asset dynamics sampled from a normal distribution which we generate by the Box-Muller method and make inter dependent by Cholesky factor matrix decomposition. Furthermore, a Monte Carlo simulation method is adopted to approximate a general form of numeric solution The historic data considered dates from 31 December 1997 to 30 June 2008. The basket contains ZAR as base currency, USD, GBP, EUR and JPY are foreign currencies.
Rich, Don R. "Incorporating default risk into the Black-Scholes model using stochastic barrier option pricing theory." Diss., This resource online, 1993. http://scholar.lib.vt.edu/theses/available/etd-06062008-171359/.
Повний текст джерелаTran, Nguyen, and Anton Weigardh. "The SABR Model : Calibrated for Swaption's Volatility Smile." Thesis, Mälardalens högskola, Akademin för utbildning, kultur och kommunikation, 2014. http://urn.kb.se/resolve?urn=urn:nbn:se:mdh:diva-24627.
Повний текст джерелаSaadat, Sajedeh, and Timo Kudljakov. "Deterministic Quadrature Formulae for the Black–Scholes Model." Thesis, Mälardalens högskola, Akademin för utbildning, kultur och kommunikation, 2021. http://urn.kb.se/resolve?urn=urn:nbn:se:mdh:diva-54612.
Повний текст джерелаJanečka, Adam. "Stochastické rovnice a numerické řešení modelu oceňování opcí." Master's thesis, Vysoká škola ekonomická v Praze, 2012. http://www.nusl.cz/ntk/nusl-195450.
Повний текст джерелаAlbertyn, Martin. "Generic simulation modelling of stochastic continuous systems." Thesis, Pretoria : [s.n.], 2004. http://upetd.up.ac.za/thesis/available/etd-05242005-112442.
Повний текст джерелаBažant, Petr. "Ohodnocování finančních derivátů." Master's thesis, Vysoká škola ekonomická v Praze, 2008. http://www.nusl.cz/ntk/nusl-3927.
Повний текст джерелаKluge, Tino. "Illustration of stochastic processes and the finite difference method in finance." Universitätsbibliothek Chemnitz, 2003. http://nbn-resolving.de/urn:nbn:de:bsz:ch1-200300079.
Повний текст джерелаDer Vortrag zeigt Animationen von Realisierungen stochstischer Prozesse, die zur Modellierung von Groessen im Finanzbereich haeufig verwendet werden (z.B. Wechselkurse, Zinskurse, Aktienkurse). Im zweiten Teil wird die Loesung der Black-Scholes Partiellen Differentialgleichung mittels Finitem Differenzenverfahren graphisch veranschaulicht
Kheirollah, Amir. "Monte Carlo Simulation of Heston Model in MATLAB GUI." Thesis, Mälardalen University, Mälardalen University, Department of Mathematics and Physics, 2006. http://urn.kb.se/resolve?urn=urn:nbn:se:mdh:diva-4253.
Повний текст джерелаIn the Black-Scholes model, the volatility considered being deterministic and it causes some
inefficiencies and trends in pricing options. It has been proposed by many authors that the
volatility should be modelled by a stochastic process. Heston Model is one solution to this
problem. To simulate the Heston Model we should be able to overcome the correlation
between asset price and the stochastic volatility. This paper considers a solution to this issue.
A review of the Heston Model presented in this paper and after modelling some investigations
are done on the applet.
Also the application of this model on some type of options has programmed by MATLAB
Graphical User Interface (GUI).
Raj, Mahendra. "Discrete stochastic arbitrage models for pricing options on short and long term yields: Tests of the Ho and Lee and the Black, Derman and Toy models." Diss., The University of Arizona, 1992. http://hdl.handle.net/10150/186107.
Повний текст джерелаZhao, Min. "Risk Measures Extracted from Option Market Data Using Massively Parallel Computing." Digital WPI, 2011. https://digitalcommons.wpi.edu/etd-theses/373.
Повний текст джерелаAlkadri, Mohamed Yaser. "Freeway Control Via Ramp Metering: Development of a Basic Building Block for an On-Ramp, Discrete, Stochastic, Mesoscopic, Simulation Model within a Contextual Systems Approach." PDXScholar, 1991. https://pdxscholar.library.pdx.edu/open_access_etds/1308.
Повний текст джерелаTeixeira, Fernando Ormonde. "On the numerical methods for the Heston model." reponame:Repositório Institucional do FGV, 2017. http://hdl.handle.net/10438/19486.
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In this thesis we revisit numerical methods for the simulation of the Heston model’sEuropean call. Specifically, we study the Euler, the Kahl-Jackel an two versions of theexact algorithm schemes. To perform this task, firstly we present a literature reviewwhich brings stochastic calculus, the Black-Scholes (BS) model and its limitations,the stochastic volatility methods and why they resolve the issues of the BS model,and the peculiarities of the numerical methods. We provide recommendations whenwe acknowledge that the reader might need more specifics and might need to divedeeper into a given topic. We introduce the methods aforementioned providing all ourimplementations in R language within a package.
Zreik, Rawya. "Analyse statistique des réseaux et applications aux sciences humaines." Thesis, Paris 1, 2016. http://www.theses.fr/2016PA01E061/document.
Повний текст джерелаOver the last two decades, network structure analysis has experienced rapid growth with its construction and its intervention in many fields, such as: communication networks, financial transaction networks, gene regulatory networks, disease transmission networks, mobile telephone networks. Social networks are now commonly used to represent the interactions between groups of people; for instance, ourselves, our professional colleagues, our friends and family, are often part of online networks, such as Facebook, Twitter, email. In a network, many factors can exert influence or make analyses easier to understand. Among these, we find two important ones: the time factor, and the network context. The former involves the evolution of connections between nodes over time. The network context can then be characterized by different types of information such as text messages (email, tweets, Facebook, posts, etc.) exchanged between nodes, categorical information on the nodes (age, gender, hobbies, status, etc.), interaction frequencies (e.g., number of emails sent or comments posted), and so on. Taking into consideration these factors can lead to the capture of increasingly complex and hidden information from the data. The aim of this thesis is to define new models for graphs which take into consideration the two factors mentioned above, in order to develop the analysis of network structure and allow extraction of the hidden information from the data. These models aim at clustering the vertices of a network depending on their connection profiles and network structures, which are either static or dynamically evolving. The starting point of this work is the stochastic block model, or SBM. This is a mixture model for graphs which was originally developed in social sciences. It assumes that the vertices of a network are spread over different classes, so that the probability of an edge between two vertices only depends on the classes they belong to
Nguyen, Cu Ngoc. "Stochastic differential equations with long-memory input." Thesis, Queensland University of Technology, 2001.
Знайти повний текст джерелаMenes, Matheus Dorival Leonardo Bombonato. "Versão discreta do modelo de elasticidade constante da variância." Universidade de São Paulo, 2012. http://www.teses.usp.br/teses/disponiveis/55/55134/tde-16042013-151325/.
Повний текст джерелаIn this work we propose a market model using a discretization scheme of the random Brownian motion proposed by Leão & Ohashi (2010). With this model, for any given payoff function, we develop a hedging strategy and a methodology to option pricing
Canafoglia, Fabio. "An Introduction to Credit Risk and Asset Pricing." Master's thesis, Alma Mater Studiorum - Università di Bologna, 2016. http://amslaurea.unibo.it/12321/.
Повний текст джерелаKrebs, Daniel. "Pricing a basket option when volatility is capped using affinejump-diffusion models." Thesis, KTH, Matematisk statistik, 2013. http://urn.kb.se/resolve?urn=urn:nbn:se:kth:diva-123395.
Повний текст джерелаCerqueira, Andressa. "Statistical inference on random graphs and networks." Universidade de São Paulo, 2018. http://www.teses.usp.br/teses/disponiveis/45/45133/tde-04042018-094802/.
Повний текст джерелаNessa tese estudamos dois modelos probabilísticos definidos em grafos: o modelo estocástico por blocos e o modelo de grafos exponenciais. Dessa forma, essa tese está dividida em duas partes. Na primeira parte nós propomos um estimador penalizado baseado na mistura de Krichevsky-Trofimov para o número de comunidades do modelo estocástico por blocos e provamos sua convergência quase certa sem considerar um limitante conhecido para o número de comunidades. Na segunda parte dessa tese nós abordamos o problema de simulação perfeita para o modelo de grafos aleatórios Exponenciais. Nós propomos um algoritmo de simulação perfeita baseado no algoritmo Coupling From the Past usando a dinâmica de Glauber. Esse algoritmo é eficiente apenas no caso em que o modelo é monotóno e nós provamos que esse é o caso para um subconjunto do espaço paramétrico. Nós também propomos um algoritmo de simulação perfeita baseado no algoritmo Backward and Forward que pode ser aplicado à modelos monótonos e não monótonos. Nós provamos a existência de um limitante superior para o número esperado de passos de ambos os algoritmos.
Rahouli, Sami El. "Modélisation financière avec des processus de Volterra et applications aux options, aux taux d'intérêt et aux risques de crédit." Thesis, Université de Lorraine, 2014. http://www.theses.fr/2014LORR0042/document.
Повний текст джерелаThis work investigates financial models for option pricing, interest rates and credit risk with stochastic processes that have memory and discontinuities. These models are formulated in terms of the fractional Brownian motion, the fractional or filtered Lévy process (also doubly stochastic) and their approximations by semimartingales. Their stochastic calculus is treated in the sense of Malliavin and Itô formulas are derived. We characterize the risk-neutral probability measures in terms of these processes for options pricing models of Black-Scholes type with jumps. We also study models of interest rates, in particular the models of Vasicek, Cox-Ingersoll-Ross and Heath-Jarrow-Morton. Finally we study credit risk models
Martineau, Killian. "Quelques aspects de cosmologie et de physique des trous noirs en gravitation quantique à boucles Detailed investigation of the duration of inflation in loop quantum cosmology for a Bianchi I universe with different inflaton potentials and initial conditions Some clarifications on the duration of inflation in loop quantum cosmology A first step towards the inflationary trans-Planckian problem treatment in loop quantum cosmology Scalar spectra of primordial perturbations in loop quantum cosmology Phenomenology of quantum reduced loop gravity in the isotropic cosmological sector Primordial Power Spectra from an Emergent Universe: Basic Results and Clarifications Fast radio bursts and the stochastic lifetime of black holes in quantum gravity Quantum fields in the background spacetime of a polymeric loop black hole Quasinormal modes of black holes in a toy-model for cumulative quantum gravity Seeing through the cosmological bounce: Footprints of the contracting phase and luminosity distance in bouncing models Dark matter as Planck relics without too exotic hypotheses A Status Report on the Phenomenology of Black Holes in Loop Quantum Gravity: Evaporation, Tunneling to White Holes, Dark Matter and Gravitational Waves." Thesis, Université Grenoble Alpes (ComUE), 2019. http://www.theses.fr/2019GREAY044.
Повний текст джерелаAfter decades of being confined to mathematical physics, quantum gravity now enters the field of experimental science. Following this trend, we consider throughout this thesis three implementation frameworks of Loop Quantum Gravity (LQG): the Universe as a system, black holes and astroparticles. The last one is only outlined while the first two are presented in more detail.Since the cosmological sector is one of the most promising areas for testing and constraining quantum gravity theories, it was not long before the development of different models attempting to apply the ideas of the LQG to the primordial Universe. The work we present deals with the phenomenology associated with these models; both in the homogeneous sector (where we focus particularly on the duration of the inflation phase), as in the inhomogeneous sector (where this time, we study the fate of the primordial power spectra). These combined studies then allow us to specify to what extent effects of (loop) quantum gravity can be observed in the anisotropies of the cosmic microwave background.On the other hand black holes, not content to be among the strangest and most fascinating objects of the Universe, are also prominent probes to test the theories of gravitation. We develop the phenomenology associated with different treatments of black holes in the loop quantum gravity framework, which intervenes on multiple levels: from the evaporation of Hawking to gravitational waves, including dark matter. This is undoubtedly a rich and vast area.Finally, the existence of a minimal length scale, predicted by the majority of quantum gravity theories, suggests a generalization of the Heisenberg uncertainty principle. On the basis of this observation, we also present in this manuscript a methodology to derive a new relation dispersion of light from the most widely used generalized uncertainty principle
Zhang, Jian. "Advance Surgery Scheduling with Consideration of Downstream Capacity Constraints and Multiple Sources of Uncertainty." Thesis, Bourgogne Franche-Comté, 2019. http://www.theses.fr/2019UBFCA023.
Повний текст джерелаThis thesis deals with the advance scheduling of elective surgeries in an operating theatre that is composed of operating rooms and downstream recovery units. The arrivals of new patients in each week, the duration of each surgery, and the length-of-stay of each patient in the downstream recovery unit are subject to uncertainty. In each week, the surgery planner should determine the surgical blocks to open and assign some of the surgeries in the waiting list to the open surgical blocks. The objective is to minimize the patient-related costs incurred by performing and postponing surgeries as well as the hospital-related costs caused by the utilization of surgical resources. Considering that the pure mathematical programming models commonly used in literature do not optimize the long-term performance of the surgery schedules, we propose a novel two-phase optimization model that combines Markov decision process (MDP) and stochastic programming to overcome this drawback. The MDP model in the first phase determines the surgeries to be performed in each week and minimizes the expected total costs over an infinite horizon, then the stochastic programming model in the second phase optimizes the assignments of the selected surgeries to surgical blocks. In order to cope with the huge complexity of realistically sized problems, we develop a reinforcement-learning-based approximate dynamic programming algorithm and several column-generation-based heuristic algorithms as the solution approaches. We conduct numerical experiments to evaluate the model and algorithms proposed in this thesis. The experimental results indicate that the proposed algorithms are considerably more efficient than the traditional ones, and that the resulting schedules of the two-phase optimization model significantly outperform those of a conventional stochastic programming model in terms of the patients' waiting times and the total costs on the long run
Loshchilov, Ilya. "Surrogate-Assisted Evolutionary Algorithms." Phd thesis, Université Paris Sud - Paris XI, 2013. http://tel.archives-ouvertes.fr/tel-00823882.
Повний текст джерелаSanthosh, D. "Stochastic Simulation Of Daily Rainfall Data Using Matched Block Bootstrap." Thesis, 2008. http://hdl.handle.net/2005/681.
Повний текст джерела(10725294), Nithish Kumar Kumar. "Stochastic Block Model Dynamics." Thesis, 2021.
Знайти повний текст джерелаChang, Lun_tsung, and 張倫宗. "Application of The Black-Litterman model to the Stochastic Portfolio Theory." Thesis, 2007. http://ndltd.ncl.edu.tw/handle/96063781231211330071.
Повний текст джерела國立高雄第一科技大學
財務管理所
95
The goal of this paper is to construct an optimal portfolio that is a weighted combination of the stochastic portfolio and the views of the investor by Black-Litterman model. To construct the portfolio, it starts with neutral portfolio weights that are consistent with the equilibrium return of the stochastic portfolio. For each asset, to which the investor has no view, this is what will be handed over the optimizer. For the assets to which the investor has views, modified expected returns are calculated as a combination of the stochastic portfolio weights and the investor views. The feature of the model is that uses the B-L model to combine the subjective views of an investor regarding the expected returns of assets with the stochastic portfolio equilibrium vector of expected returns to form a new mixed estimate of expected returns. It differs only from the Markowitz model with respect to the expected returns. The portfolio has a simple, intuitive property. It provides the flexibility to combine the equilibrium return of the stochastic portfolio. Let the quantitative model tend to be an active portfolio selection model. We test the Taiwan stock market. The weight adjustment frequency divides into the week, the double week and the month. Our empirical period was from 1997 to 2006. Besides the TSEC that weight adjustment frequency is the month, the performance of the stochastic portfolio is better than the market portfolio constructing according to the capital weight. The return which weight adjustment frequency is the double week is relatively high. The return from OTC is better than TSEC. Furthermore, considering the views according to the momentum strategy, the empirical researches show that the reverse strategy performs better on TSEC market.
Majmin, Lisa. "Local and Stochastic Volatility Models: An Investigation into the Pricing of Exotic Equity Options." Thesis, 2006. http://hdl.handle.net/10539/1495.
Повний текст джерелаThe assumption of constant volatility as an input parameter into the Black-Scholes option pricing formula is deemed primitive and highly erroneous when one considers the terminal distribution of the log-returns of the underlying process. To account for the `fat tails' of the distribution, we consider both local and stochastic volatility option pricing models. Each class of models, the former being a special case of the latter, gives rise to a parametrization of the skew, which may or may not re°ect the correct dynamics of the skew. We investigate a select few from each class and derive the results presented in the corresponding papers. We select one from each class, namely the implied trinomial tree (Derman, Kani & Chriss 1996) and the SABR model (Hagan, Kumar, Lesniewski & Woodward 2002), and calibrate to the implied skew for SAFEX futures. We also obtain prices for both vanilla and exotic equity index options and compare the two approaches.
Waczulík, Oliver. "Stochastické modely ve finanční matematice." Master's thesis, 2016. http://www.nusl.cz/ntk/nusl-346757.
Повний текст джерелаLin, Christy. "Unsupervised random walk node embeddings for network block structure representation." Thesis, 2021. https://hdl.handle.net/2144/43083.
Повний текст джерела2023-09-24T00:00:00Z
Hilebrand, William. "The valuation of callable defaultable bonds." Master's thesis, 2011. http://hdl.handle.net/10071/4337.
Повний текст джерелаO presente trabalho debruça-se sobre a avaliação de obrigações callable com risco de falência, quando o valor da empresa e a taxa de juro são ambos estocásticos. Quando se avalia direitos contingentes de longo prazo cujo activo subjacente é uma obrigação, torna-se importante considerar o risco de falência como variável endógena visto que, no longo prazo, o valor da empresa e a taxa de juro podem não ter o mesmo comportamento. O valor da empresa é explicado por um movimento Browniano geométrico de um só factor e a taxa de juro segue um processo de raíz quadrada, também de um só factor. Este estudo apresenta análises de sensibilidade do spread das yields e do valor das opções, para variações no preço da obrigação subjacente e na volatilidade da taxa de juro. Serão também comparados três pressupostos diferentes para o comportamento da taxa de juro (modelo CIR, modelo Vasicek e taxa de juro constante), de forma a encontrar diferenças relevantes e perceber qual deles se adequa melhor à teoria.
Cheng, Ya-ching, and 鄭雅菁. "The Comparison of the Volatility Forecasting Ability between Black-Scholes and Stochastic Volatility Model - Empirical Study of TXO." Thesis, 2005. http://ndltd.ncl.edu.tw/handle/72650687883254650421.
Повний текст джерела義守大學
財務金融學系碩士班
93
After the introduction of warrants in Taiwan in 1997, futures, options and other derivatives have been introduced successively. The financial market of Taiwan is becoming more diverse and rich. As a result, the pricing, trading strategies, and hedging of the derivatives are important issues. Volatility is a crucial factor in affecting the pricing, trading strategies, and hedging. Therefore, volatility takes a major part in the modern financial theories. This research studied the Taiwan stock index options and analyzed the advantages and disadvantages of the volatility models. Black-Scholes options evaluation model and Hull & White stochastic volatility model were grouped with historic volatility, implied volatility, and GARCH model. The empirical study showed that under the measurement error index of MAE, RMSE, MAPE, the historic volatility model reached the greatest price error. Non-parametric Wilcoxon sign-rank test was used to discuss the significance between the errors of the theoretic price and market price for different volatility models. The Hull & White stochastic volatility model was not found better than Black-Scholes model.
Kan-Dobrowsky, Natalia. "Generalized Multinomial CRR Option Pricing Model and its Black-Scholes type limit." Doctoral thesis, 2005. http://hdl.handle.net/11858/00-1735-0000-0006-B401-6.
Повний текст джерелаXuan, Junyu. "Bayesian nonparametric learning for complicated text mining." Thesis, 2016. http://hdl.handle.net/10453/62405.
Повний текст джерелаText mining has gained the ever-increasing attention of researchers in recent years because text is one of the most natural and easy ways to express human knowledge and opinions, and is therefore believed to have a variety of application scenarios and a potentially high commercial value. It is commonly accepted that Bayesian models with finite-dimensional probability distributions as building blocks, also known as parametric topic models, are effective tools for text mining. However, one problem in existing parametric topic models is that the hidden topic number needs to be fixed in advance. Determining an appropriate number is very difficult, and sometimes unrealistic, for many real-world applications and may lead to over-fitting or under-fitting issues. Bayesian nonparametric learning is a key approach for learning the number of mixtures in a mixture model (also called the model selection problem), and has emerged as an elegant way to handle a flexible number of topics. The core idea of Bayesian nonparametric models is to use stochastic processes as building blocks, instead of traditional fixed-dimensional probability distributions. Even though Bayesian nonparametric learning has gained considerable research attention and undergone rapid development, its ability to conduct complicated text mining tasks, such as: document-word co-clustering, document network learning, multi-label document learning, and so on, is still weak. Therefore, there is still a gap between the Bayesian nonparametric learning theory and complicated real-world text mining tasks. To fill this gap, this research aims to develop a set of Bayesian nonparametric models to accomplish four selected complex text mining tasks. First, three Bayesian nonparametric sparse nonnegative matrix factorization models, based on two innovative dependent Indian buffet processes, are proposed for document-word co-clustering tasks. Second, a Dirichlet mixture probability measure strategy is proposed to link the topics from different layers, and is used to build a Bayesian nonparametric deep topic model for topic hierarchy learning. Third, the thesis develops a Bayesian nonparametric relational topic model for document network learning tasks by a subsampling Markov random field. Lastly, the thesis develops Bayesian nonparametric cooperative hierarchical structure models for multi-label document learning task based on two stochastic process operations: inheritance and cooperation. The findings of this research not only contribute to the development of Bayesian nonparametric learning theory, but also provide a set of effective tools for complicated text mining applications.
Qin, Juan. "A high-resolution hierarchical model for space-time rainfall." Thesis, 2011. http://hdl.handle.net/1959.13/808076.
Повний текст джерелаThe hydrologic response of urban catchments is sensitive to small scale space-time rainfall variations. A stochastic space-time rainfall model used for design purposes must reproduce important statistics at these small scales. However, current rainfall models make simplifying assumptions about the temporal characteristics of rainfields and thus cannot be expected to reproduce important statistics over various space and time scales. In this study, an extensive investigation of radar rainfall data for the Sydney region motivated the development of a new phenomenological hierarchical stochastic model to robustly simulate rainfall fields consistent with 10-minute 1-km2 pixel radar images. The hierarchical framework consists of three levels. The development of the first two levels which simulate the evolution of rainfall fields for a single storm is the focus of this thesis. The third level, which is designed for simulation of storm sequences, is left for future research. The first level simulates a latent Gaussian random field conditioned on the previous time step, , which is transformed to a rain field using a power transformation. A Toeplitz block circulant technique is used to achieve fast and accurate simulations of large Gaussian random fields (with lattice of 256 by 256), and is shown to be hugely more efficient than the traditional Cholesky decomposition method. In the second level, first-order autoregressive (AR(1)) models are used to describe the within-storm variations of the level-one parameters that control the evolution of the rain fields. Calibration is performed using a generalized method-of-moments approach. The parametric bootstrap validation technique was used to evaluate the performance of the first two levels of the model by comparing the characteristics of interest for four observed storm events (typical of frontal and convective storms experienced in Sydney, Australia) and synthetic storms. It is found that this two-level rainfall model produces realistic sequences of rain images which capture the physical hierarchical structure of clusters, patchiness of rain fields and the persistence exhibited during storm development. A variety of important statistics were adequately reproduced at both 10-min and 1-hr time scales over space scales ranging from 1 km up to 32 km. Finally, application of this model to short-term rainfall forecasting is presented.