Search for dissertations about: "Henrik Hult"

Showing result 6 - 10 of 18 swedish dissertations containing the words Henrik Hult.

  2. 6. Rare-event simulation with Markov chain Monte Carlo

    Author : Thorbjörn Gudmundsson; Henrik Hult; Ad Ridder; KTH; []
    Keywords : NATURVETENSKAP; NATURAL SCIENCES; Tillämpad matematik och beräkningsmatematik; Applied and Computational Mathematics;

    Abstract : Stochastic simulation is a popular method for computing probabilities or expecta- tions where analytical answers are difficult to derive. It is well known that standard methods of simulation are inefficient for computing rare-event probabilities and there- fore more advanced methods are needed to those problems. READ MORE

  4. 7. On the Snell envelope approach to optimal switching and pricing Bermudan options

    Author : Ali Hamdi; Boualem Djehiche; Henrik Hult; Said Hamadène; KTH; []
    Keywords : NATURVETENSKAP; NATURAL SCIENCES;

    Abstract : This thesis consists of two papers related to systems of Snell envelopes. The first paper uses a system of Snell envelopes to formulate the problem of two-modes optimal switching for the full balance sheet in finite horizon. READ MORE

  5. 8. Some aspects of optimal switching and pricing Bermudan options

    Author : Ali Hamdi; Boualem Djehiche; Henrik Hult; Luis Alvarez; KTH; []
    Keywords : NATURVETENSKAP; NATURAL SCIENCES;

    Abstract : This thesis consists of four papers that are all related to the Snell envelope. In the first paper, the Snell envelope is used as a formulation of a two-modes optimal switching problem. The obstacles are interconnected, take both profit and cost yields into account, and switching is based on both sides of the balance sheet. READ MORE

  6. 9. On Frequency Control Schemes in Power Systems with Large Amounts of Wind Power

    Author : Camille Hamon; Lennart Söder; Magnus Perninge; Henrik Hult; KTH; []
    Keywords : TEKNIK OCH TEKNOLOGIER; ENGINEERING AND TECHNOLOGY; Wind power; Stochastic optimal power flows; Frequency control schemes; Tertiary frequency control; uncertainty; power systems;

    Abstract : In recent years, large investments have been made in wind power, and this trend is expected to continue in the coming decades. Integrating more wind power in the production mix offers great opportunities for the society, such as reducing greenhouse gas emissions and the dependence on foreign fuel. READ MORE

  7. 10. Generative models of limit order books

    Author : Hanna Hultin; Henrik Hult; Erik Lindström; KTH; []
    Keywords : NATURVETENSKAP; NATURAL SCIENCES; Matematik; Mathematics;

    Abstract : In this thesis generative models in machine learning are developed with the overall aim to improve methods for algorithmic trading on high-frequency electronic exchanges based on limit order books. The thesis consists of two papers. READ MORE