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Browsing by Subject "Wiener process"

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  • thumbnail.journal.alt
    Item type:Thesis, Access status: Restricted ,
    Błąd osłony delta-gamma
    (Data obrony: 2015-11-16) Stefańska, Katarzyna
    Wydział Matematyki Stosowanej
  • thumbnail.journal.alt
    Item type:Thesis, Access status: Restricted ,
    Opcje realne
    (Data obrony: 2015-03-05) Pietruch, Dorota
    Wydział Matematyki Stosowanej
  • thumbnail.journal.alt
    Item type:Thesis, Access status: Restricted ,
    Optymalne strategie momentu wykupu pożyczki pod zastaw akcji ze skończonym momentem zapadalności
    (Data obrony: 2016-07-18) Pelc, Wioletta
    Wydział Matematyki Stosowanej
  • thumbnail.journal.alt
    Item type:Article, Access status: Open Access ,
    Solution of linear and nonlinear diffusion problems via stochastic differential equations
    (Wydawnictwa AGH, 2015) Bargieł, Monika; Tory, Elmer M.
    The equation for nonlinear diffusion can be rearranged to a form that immediately leads to its stochastic analog. The latter contains a drift term that is absent when the diffusion coefficient is constant. The dependence of this coefficient on concentration (or temperature) is handled by generating many paths in parallel and approximating the derivative of concentration with respect to distance by the central difference. This method works for one-dimensional diffusion problems with finite or infinite boundaries and for diffusion in cylindrical or spherical shells. By mimicking the movements of molecules, the stochastic approach provides a deeper insight into the physical process. The parallel version of our algorithm is very efficient. The 99% confidence limits for the stochastic solution enclose the analytical solution so tightly that they cannot be shown graphically. This indicates that there is no systematic difference in the results for the two methods. Finally, we present a direct derivation of the stochastic method for cylindrical and spherical shells.
  • thumbnail.journal.alt
    Item type:Thesis, Access status: Restricted ,
    Stochastyczna teoria portfela
    (Data obrony: 2016-11-09) Pabijan, Kamil
    Wydział Matematyki Stosowanej
  • thumbnail.journal.alt
    Item type:Thesis, Access status: Restricted ,
    Zastosowanie funkcji kopuli dla wyceny opcji
    (Data obrony: 2017-11-30) Straszak, Aleksandra
    Wydział Matematyki Stosowanej
  • thumbnail.journal.alt
    Item type:Thesis, Access status: Restricted ,
    Zastosowanie procesów Levy'ego do wyceny kontraktów forward na towary
    (Data obrony: 2015-10-16) Budzińska, Małgorzata
    Wydział Matematyki Stosowanej