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Results for "supervisors_tesim:"Kouritzin, Mike (Mathematical and Statistical Sciences)""

  • 2016-06


    In this thesis, we are focusing on developing an efficient simulation algorithm to price the path-dependent options, which remains a challenging problem in derivatives finance. The Heston model, a widely used stochastic volatility model, will first be introduced. Then, we will discuss and...

  • 2014-06

    Ye, Zi

    We introduce two kinds of particle filters, one is weighted particle filter and the other is resampling particle filter. We prove the Strong Law of Large Numbers and Central Limit Theorem for both particle filters. Then, we show that the resampling particle filter is better than the weighted one.

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