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You searched for +publisher:"Delft University of Technology" +contributor:("Oosterlee, Kees"). Showing records 1 – 26 of 26 total matches.

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Delft University of Technology

1. van Dijk, Marcel (author). Forecasting the implied volatility surface in risk-management applications.

Degree: 2017, Delft University of Technology

In risk-management, one typically simulates many states of the market using models that are in line with historical data, also known as real-world models. For… (more)

Subjects/Keywords: Option Pricing; risk-management; recalibration; implied volatility surface; Heston

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APA (6th Edition):

van Dijk, M. (. (2017). Forecasting the implied volatility surface in risk-management applications. (Masters Thesis). Delft University of Technology. Retrieved from http://resolver.tudelft.nl/uuid:12ccda1c-c642-400f-98fa-4b0975dcec98

Chicago Manual of Style (16th Edition):

van Dijk, Marcel (author). “Forecasting the implied volatility surface in risk-management applications.” 2017. Masters Thesis, Delft University of Technology. Accessed December 05, 2020. http://resolver.tudelft.nl/uuid:12ccda1c-c642-400f-98fa-4b0975dcec98.

MLA Handbook (7th Edition):

van Dijk, Marcel (author). “Forecasting the implied volatility surface in risk-management applications.” 2017. Web. 05 Dec 2020.

Vancouver:

van Dijk M(. Forecasting the implied volatility surface in risk-management applications. [Internet] [Masters thesis]. Delft University of Technology; 2017. [cited 2020 Dec 05]. Available from: http://resolver.tudelft.nl/uuid:12ccda1c-c642-400f-98fa-4b0975dcec98.

Council of Science Editors:

van Dijk M(. Forecasting the implied volatility surface in risk-management applications. [Masters Thesis]. Delft University of Technology; 2017. Available from: http://resolver.tudelft.nl/uuid:12ccda1c-c642-400f-98fa-4b0975dcec98


Delft University of Technology

2. van Schetsen, Anouk (author). Impact of graph-based features on Bitcoin prices.

Degree: 2019, Delft University of Technology

Predicting the trends in Bitcoin market prices is a very challenging task due to the many uncertainties and variables influencing the market value. The market… (more)

Subjects/Keywords: Machine Learning; Random Forest; Bitcoin; random walk; graph analysis

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APA (6th Edition):

van Schetsen, A. (. (2019). Impact of graph-based features on Bitcoin prices. (Masters Thesis). Delft University of Technology. Retrieved from http://resolver.tudelft.nl/uuid:363d443c-64f6-4c35-9671-4092aa334923

Chicago Manual of Style (16th Edition):

van Schetsen, Anouk (author). “Impact of graph-based features on Bitcoin prices.” 2019. Masters Thesis, Delft University of Technology. Accessed December 05, 2020. http://resolver.tudelft.nl/uuid:363d443c-64f6-4c35-9671-4092aa334923.

MLA Handbook (7th Edition):

van Schetsen, Anouk (author). “Impact of graph-based features on Bitcoin prices.” 2019. Web. 05 Dec 2020.

Vancouver:

van Schetsen A(. Impact of graph-based features on Bitcoin prices. [Internet] [Masters thesis]. Delft University of Technology; 2019. [cited 2020 Dec 05]. Available from: http://resolver.tudelft.nl/uuid:363d443c-64f6-4c35-9671-4092aa334923.

Council of Science Editors:

van Schetsen A(. Impact of graph-based features on Bitcoin prices. [Masters Thesis]. Delft University of Technology; 2019. Available from: http://resolver.tudelft.nl/uuid:363d443c-64f6-4c35-9671-4092aa334923


Delft University of Technology

3. De Meer Pardo, Fernando (author). Enriching Financial Datasets with Generative Adversarial Networks.

Degree: 2019, Delft University of Technology

The scarcity of historical financial data has been a huge hindrance for the development algorithmic trading models ever since the first models were devised. Most… (more)

Subjects/Keywords: Generative Adversarial Networks; Data Augmentation; Financial Time Series

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APA (6th Edition):

De Meer Pardo, F. (. (2019). Enriching Financial Datasets with Generative Adversarial Networks. (Masters Thesis). Delft University of Technology. Retrieved from http://resolver.tudelft.nl/uuid:51d69925-fb7b-4e82-9ba6-f8295f96705c

Chicago Manual of Style (16th Edition):

De Meer Pardo, Fernando (author). “Enriching Financial Datasets with Generative Adversarial Networks.” 2019. Masters Thesis, Delft University of Technology. Accessed December 05, 2020. http://resolver.tudelft.nl/uuid:51d69925-fb7b-4e82-9ba6-f8295f96705c.

MLA Handbook (7th Edition):

De Meer Pardo, Fernando (author). “Enriching Financial Datasets with Generative Adversarial Networks.” 2019. Web. 05 Dec 2020.

Vancouver:

De Meer Pardo F(. Enriching Financial Datasets with Generative Adversarial Networks. [Internet] [Masters thesis]. Delft University of Technology; 2019. [cited 2020 Dec 05]. Available from: http://resolver.tudelft.nl/uuid:51d69925-fb7b-4e82-9ba6-f8295f96705c.

Council of Science Editors:

De Meer Pardo F(. Enriching Financial Datasets with Generative Adversarial Networks. [Masters Thesis]. Delft University of Technology; 2019. Available from: http://resolver.tudelft.nl/uuid:51d69925-fb7b-4e82-9ba6-f8295f96705c


Delft University of Technology

4. Schouten, Thijs (author). Tail dependence in financial data: Modelling dependence in dynamic factor models with copulas and extreme value theory.

Degree: 2017, Delft University of Technology

 In this thesis we model extreme log-returns on economic variables and apply this to Ortec Finance's model. These extreme log-returns are relevant for risk management… (more)

Subjects/Keywords: Tail dependence; Copula; Extreme value theory; Copula autoregressive model; Vector autoregressive model

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APA (6th Edition):

Schouten, T. (. (2017). Tail dependence in financial data: Modelling dependence in dynamic factor models with copulas and extreme value theory. (Masters Thesis). Delft University of Technology. Retrieved from http://resolver.tudelft.nl/uuid:d68690b5-23db-4f81-8396-fd54cd23e8c0

Chicago Manual of Style (16th Edition):

Schouten, Thijs (author). “Tail dependence in financial data: Modelling dependence in dynamic factor models with copulas and extreme value theory.” 2017. Masters Thesis, Delft University of Technology. Accessed December 05, 2020. http://resolver.tudelft.nl/uuid:d68690b5-23db-4f81-8396-fd54cd23e8c0.

MLA Handbook (7th Edition):

Schouten, Thijs (author). “Tail dependence in financial data: Modelling dependence in dynamic factor models with copulas and extreme value theory.” 2017. Web. 05 Dec 2020.

Vancouver:

Schouten T(. Tail dependence in financial data: Modelling dependence in dynamic factor models with copulas and extreme value theory. [Internet] [Masters thesis]. Delft University of Technology; 2017. [cited 2020 Dec 05]. Available from: http://resolver.tudelft.nl/uuid:d68690b5-23db-4f81-8396-fd54cd23e8c0.

Council of Science Editors:

Schouten T(. Tail dependence in financial data: Modelling dependence in dynamic factor models with copulas and extreme value theory. [Masters Thesis]. Delft University of Technology; 2017. Available from: http://resolver.tudelft.nl/uuid:d68690b5-23db-4f81-8396-fd54cd23e8c0


Delft University of Technology

5. van der Meer, Remco (author). Solving Partial Differential Equations with Neural Networks.

Degree: 2019, Delft University of Technology

Recent works have shown that neural networks can be employed to solve partial differential equations, bringing rise to the framework of physics informed neural networks.The… (more)

Subjects/Keywords: Partial Differential Equations; Neural Networks; Deep Learning; numerical methods

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APA (6th Edition):

van der Meer, R. (. (2019). Solving Partial Differential Equations with Neural Networks. (Masters Thesis). Delft University of Technology. Retrieved from http://resolver.tudelft.nl/uuid:c77e1bcc-7212-4234-af34-6586b628ab1c

Chicago Manual of Style (16th Edition):

van der Meer, Remco (author). “Solving Partial Differential Equations with Neural Networks.” 2019. Masters Thesis, Delft University of Technology. Accessed December 05, 2020. http://resolver.tudelft.nl/uuid:c77e1bcc-7212-4234-af34-6586b628ab1c.

MLA Handbook (7th Edition):

van der Meer, Remco (author). “Solving Partial Differential Equations with Neural Networks.” 2019. Web. 05 Dec 2020.

Vancouver:

van der Meer R(. Solving Partial Differential Equations with Neural Networks. [Internet] [Masters thesis]. Delft University of Technology; 2019. [cited 2020 Dec 05]. Available from: http://resolver.tudelft.nl/uuid:c77e1bcc-7212-4234-af34-6586b628ab1c.

Council of Science Editors:

van der Meer R(. Solving Partial Differential Equations with Neural Networks. [Masters Thesis]. Delft University of Technology; 2019. Available from: http://resolver.tudelft.nl/uuid:c77e1bcc-7212-4234-af34-6586b628ab1c


Delft University of Technology

6. Hoogendoorn, Jasper (author). Sequential Monte Carlo method for training Neural Networks on non-stationary time series.

Degree: 2019, Delft University of Technology

In this thesis, we study the sequential Monte Carlo method for training neural networks in the context of time series forecasting. Sequential Monte Carlo can… (more)

Subjects/Keywords: sequential Monte Carlo; Neural Networks; Time Series Forecasting; Convolutional Neural Network

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APA (6th Edition):

Hoogendoorn, J. (. (2019). Sequential Monte Carlo method for training Neural Networks on non-stationary time series. (Masters Thesis). Delft University of Technology. Retrieved from http://resolver.tudelft.nl/uuid:659e9fd5-d251-46fe-8455-3a17bdd4f48c

Chicago Manual of Style (16th Edition):

Hoogendoorn, Jasper (author). “Sequential Monte Carlo method for training Neural Networks on non-stationary time series.” 2019. Masters Thesis, Delft University of Technology. Accessed December 05, 2020. http://resolver.tudelft.nl/uuid:659e9fd5-d251-46fe-8455-3a17bdd4f48c.

MLA Handbook (7th Edition):

Hoogendoorn, Jasper (author). “Sequential Monte Carlo method for training Neural Networks on non-stationary time series.” 2019. Web. 05 Dec 2020.

Vancouver:

Hoogendoorn J(. Sequential Monte Carlo method for training Neural Networks on non-stationary time series. [Internet] [Masters thesis]. Delft University of Technology; 2019. [cited 2020 Dec 05]. Available from: http://resolver.tudelft.nl/uuid:659e9fd5-d251-46fe-8455-3a17bdd4f48c.

Council of Science Editors:

Hoogendoorn J(. Sequential Monte Carlo method for training Neural Networks on non-stationary time series. [Masters Thesis]. Delft University of Technology; 2019. Available from: http://resolver.tudelft.nl/uuid:659e9fd5-d251-46fe-8455-3a17bdd4f48c


Delft University of Technology

7. van den Assem, Daan (author). Predicting periodic and chaotic signals using Wavenets.

Degree: 2017, Delft University of Technology

 This thesis discusses forecasting periodic time series using Wavenets with an application in financial time series. Conventional neural networks used for forecasting such as the… (more)

Subjects/Keywords: wavenet; forecasting; neural networks

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APA (6th Edition):

van den Assem, D. (. (2017). Predicting periodic and chaotic signals using Wavenets. (Masters Thesis). Delft University of Technology. Retrieved from http://resolver.tudelft.nl/uuid:d375f5e3-23ef-415a-bd0c-1392adc1bf18

Chicago Manual of Style (16th Edition):

van den Assem, Daan (author). “Predicting periodic and chaotic signals using Wavenets.” 2017. Masters Thesis, Delft University of Technology. Accessed December 05, 2020. http://resolver.tudelft.nl/uuid:d375f5e3-23ef-415a-bd0c-1392adc1bf18.

MLA Handbook (7th Edition):

van den Assem, Daan (author). “Predicting periodic and chaotic signals using Wavenets.” 2017. Web. 05 Dec 2020.

Vancouver:

van den Assem D(. Predicting periodic and chaotic signals using Wavenets. [Internet] [Masters thesis]. Delft University of Technology; 2017. [cited 2020 Dec 05]. Available from: http://resolver.tudelft.nl/uuid:d375f5e3-23ef-415a-bd0c-1392adc1bf18.

Council of Science Editors:

van den Assem D(. Predicting periodic and chaotic signals using Wavenets. [Masters Thesis]. Delft University of Technology; 2017. Available from: http://resolver.tudelft.nl/uuid:d375f5e3-23ef-415a-bd0c-1392adc1bf18


Delft University of Technology

8. Michael, Gavriella (author). A battle of pooled and panel data in credit risk modelling.

Degree: 2019, Delft University of Technology

When dealing with datasets where the observations are obtained from the same cross-sectional units at multiple time points, most of the times, heterogeneity arises across… (more)

Subjects/Keywords: panel data; credit risk; Regression analysis

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APA (6th Edition):

Michael, G. (. (2019). A battle of pooled and panel data in credit risk modelling. (Masters Thesis). Delft University of Technology. Retrieved from http://resolver.tudelft.nl/uuid:10fd10c2-52d4-4037-b10b-07d6abc4437a

Chicago Manual of Style (16th Edition):

Michael, Gavriella (author). “A battle of pooled and panel data in credit risk modelling.” 2019. Masters Thesis, Delft University of Technology. Accessed December 05, 2020. http://resolver.tudelft.nl/uuid:10fd10c2-52d4-4037-b10b-07d6abc4437a.

MLA Handbook (7th Edition):

Michael, Gavriella (author). “A battle of pooled and panel data in credit risk modelling.” 2019. Web. 05 Dec 2020.

Vancouver:

Michael G(. A battle of pooled and panel data in credit risk modelling. [Internet] [Masters thesis]. Delft University of Technology; 2019. [cited 2020 Dec 05]. Available from: http://resolver.tudelft.nl/uuid:10fd10c2-52d4-4037-b10b-07d6abc4437a.

Council of Science Editors:

Michael G(. A battle of pooled and panel data in credit risk modelling. [Masters Thesis]. Delft University of Technology; 2019. Available from: http://resolver.tudelft.nl/uuid:10fd10c2-52d4-4037-b10b-07d6abc4437a


Delft University of Technology

9. Hartel, Wout (author). Modelling of Financial Contracts Production in the Employer’s Market: Relationship between performance and production of new financial contracts.

Degree: 2019, Delft University of Technology

This thesis is a research into the relationship between performance and sales of new financial contracts of financial products providers in the employer’s market. This… (more)

Subjects/Keywords: modelling; financial contracts; performance; logistic regression

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APA (6th Edition):

Hartel, W. (. (2019). Modelling of Financial Contracts Production in the Employer’s Market: Relationship between performance and production of new financial contracts. (Masters Thesis). Delft University of Technology. Retrieved from http://resolver.tudelft.nl/uuid:3f785788-7311-43f8-8064-7ac5027e1da5

Chicago Manual of Style (16th Edition):

Hartel, Wout (author). “Modelling of Financial Contracts Production in the Employer’s Market: Relationship between performance and production of new financial contracts.” 2019. Masters Thesis, Delft University of Technology. Accessed December 05, 2020. http://resolver.tudelft.nl/uuid:3f785788-7311-43f8-8064-7ac5027e1da5.

MLA Handbook (7th Edition):

Hartel, Wout (author). “Modelling of Financial Contracts Production in the Employer’s Market: Relationship between performance and production of new financial contracts.” 2019. Web. 05 Dec 2020.

Vancouver:

Hartel W(. Modelling of Financial Contracts Production in the Employer’s Market: Relationship between performance and production of new financial contracts. [Internet] [Masters thesis]. Delft University of Technology; 2019. [cited 2020 Dec 05]. Available from: http://resolver.tudelft.nl/uuid:3f785788-7311-43f8-8064-7ac5027e1da5.

Council of Science Editors:

Hartel W(. Modelling of Financial Contracts Production in the Employer’s Market: Relationship between performance and production of new financial contracts. [Masters Thesis]. Delft University of Technology; 2019. Available from: http://resolver.tudelft.nl/uuid:3f785788-7311-43f8-8064-7ac5027e1da5


Delft University of Technology

10. Jonker, Hendrik (author). Valuation of natural gas storage contracts with the COS method.

Degree: 2019, Delft University of Technology

 Since the liberalization of the energy markets, the storage of energy is decoupled from the production and sales. In Western-Europe the storage of natural gas… (more)

Subjects/Keywords: COS method; Gas storage valuation; Adjoint expansion

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APA (6th Edition):

Jonker, H. (. (2019). Valuation of natural gas storage contracts with the COS method. (Masters Thesis). Delft University of Technology. Retrieved from http://resolver.tudelft.nl/uuid:2a29f2c2-20c1-4a6e-8a7e-bb05662fd844

Chicago Manual of Style (16th Edition):

Jonker, Hendrik (author). “Valuation of natural gas storage contracts with the COS method.” 2019. Masters Thesis, Delft University of Technology. Accessed December 05, 2020. http://resolver.tudelft.nl/uuid:2a29f2c2-20c1-4a6e-8a7e-bb05662fd844.

MLA Handbook (7th Edition):

Jonker, Hendrik (author). “Valuation of natural gas storage contracts with the COS method.” 2019. Web. 05 Dec 2020.

Vancouver:

Jonker H(. Valuation of natural gas storage contracts with the COS method. [Internet] [Masters thesis]. Delft University of Technology; 2019. [cited 2020 Dec 05]. Available from: http://resolver.tudelft.nl/uuid:2a29f2c2-20c1-4a6e-8a7e-bb05662fd844.

Council of Science Editors:

Jonker H(. Valuation of natural gas storage contracts with the COS method. [Masters Thesis]. Delft University of Technology; 2019. Available from: http://resolver.tudelft.nl/uuid:2a29f2c2-20c1-4a6e-8a7e-bb05662fd844


Delft University of Technology

11. Kirana, Marco (author). Margin Period of Risk in Credit Valuation Adjustment Calculations.

Degree: 2019, Delft University of Technology

The aim of this thesis is to model fully collateralized exposures in the presence of the Margin Period of Risk, i.e., the time between the… (more)

Subjects/Keywords: Margin Period of Risk; CVA; XVA; Fully collateralized exposures

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APA (6th Edition):

Kirana, M. (. (2019). Margin Period of Risk in Credit Valuation Adjustment Calculations. (Masters Thesis). Delft University of Technology. Retrieved from http://resolver.tudelft.nl/uuid:43d0a7ae-e1f4-4fd2-bb27-c9c34e98b53e

Chicago Manual of Style (16th Edition):

Kirana, Marco (author). “Margin Period of Risk in Credit Valuation Adjustment Calculations.” 2019. Masters Thesis, Delft University of Technology. Accessed December 05, 2020. http://resolver.tudelft.nl/uuid:43d0a7ae-e1f4-4fd2-bb27-c9c34e98b53e.

MLA Handbook (7th Edition):

Kirana, Marco (author). “Margin Period of Risk in Credit Valuation Adjustment Calculations.” 2019. Web. 05 Dec 2020.

Vancouver:

Kirana M(. Margin Period of Risk in Credit Valuation Adjustment Calculations. [Internet] [Masters thesis]. Delft University of Technology; 2019. [cited 2020 Dec 05]. Available from: http://resolver.tudelft.nl/uuid:43d0a7ae-e1f4-4fd2-bb27-c9c34e98b53e.

Council of Science Editors:

Kirana M(. Margin Period of Risk in Credit Valuation Adjustment Calculations. [Masters Thesis]. Delft University of Technology; 2019. Available from: http://resolver.tudelft.nl/uuid:43d0a7ae-e1f4-4fd2-bb27-c9c34e98b53e


Delft University of Technology

12. Wesel, Frederiek (author). Sparse Gaussian Processes in the Longstaff-Schwartz algorithm.

Degree: 2019, Delft University of Technology

 In financial applications it is often necessary to determine conditional expectations in Monte Carlo type of simulations. The industry standard at the moment relies on… (more)

Subjects/Keywords: Gaussian process regression; Bermudan options; Longstaff-Schwartz

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APA (6th Edition):

Wesel, F. (. (2019). Sparse Gaussian Processes in the Longstaff-Schwartz algorithm. (Masters Thesis). Delft University of Technology. Retrieved from http://resolver.tudelft.nl/uuid:6cc65fdf-1268-49cd-b0ab-163088603ff7

Chicago Manual of Style (16th Edition):

Wesel, Frederiek (author). “Sparse Gaussian Processes in the Longstaff-Schwartz algorithm.” 2019. Masters Thesis, Delft University of Technology. Accessed December 05, 2020. http://resolver.tudelft.nl/uuid:6cc65fdf-1268-49cd-b0ab-163088603ff7.

MLA Handbook (7th Edition):

Wesel, Frederiek (author). “Sparse Gaussian Processes in the Longstaff-Schwartz algorithm.” 2019. Web. 05 Dec 2020.

Vancouver:

Wesel F(. Sparse Gaussian Processes in the Longstaff-Schwartz algorithm. [Internet] [Masters thesis]. Delft University of Technology; 2019. [cited 2020 Dec 05]. Available from: http://resolver.tudelft.nl/uuid:6cc65fdf-1268-49cd-b0ab-163088603ff7.

Council of Science Editors:

Wesel F(. Sparse Gaussian Processes in the Longstaff-Schwartz algorithm. [Masters Thesis]. Delft University of Technology; 2019. Available from: http://resolver.tudelft.nl/uuid:6cc65fdf-1268-49cd-b0ab-163088603ff7


Delft University of Technology

13. Kroon, Aizo (author). Hedging interest rate risk for pension schemes: Optimization and effectiveness: The case of the Netherlands.

Degree: 2019, Delft University of Technology

Efficiently managing hedging portfolios on behalf of pension funds is key in achieving the target hedging strategy, which can significantly impact coverage ratios. A new… (more)

Subjects/Keywords: Pension fund; Pension scheme; Defined Benefits; Optimization; Interest rate risk; Hedging; Key rate duration; Simplex

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APA (6th Edition):

Kroon, A. (. (2019). Hedging interest rate risk for pension schemes: Optimization and effectiveness: The case of the Netherlands. (Masters Thesis). Delft University of Technology. Retrieved from http://resolver.tudelft.nl/uuid:aceb6e2b-2daf-4abe-b28a-e5917b55ec46

Chicago Manual of Style (16th Edition):

Kroon, Aizo (author). “Hedging interest rate risk for pension schemes: Optimization and effectiveness: The case of the Netherlands.” 2019. Masters Thesis, Delft University of Technology. Accessed December 05, 2020. http://resolver.tudelft.nl/uuid:aceb6e2b-2daf-4abe-b28a-e5917b55ec46.

MLA Handbook (7th Edition):

Kroon, Aizo (author). “Hedging interest rate risk for pension schemes: Optimization and effectiveness: The case of the Netherlands.” 2019. Web. 05 Dec 2020.

Vancouver:

Kroon A(. Hedging interest rate risk for pension schemes: Optimization and effectiveness: The case of the Netherlands. [Internet] [Masters thesis]. Delft University of Technology; 2019. [cited 2020 Dec 05]. Available from: http://resolver.tudelft.nl/uuid:aceb6e2b-2daf-4abe-b28a-e5917b55ec46.

Council of Science Editors:

Kroon A(. Hedging interest rate risk for pension schemes: Optimization and effectiveness: The case of the Netherlands. [Masters Thesis]. Delft University of Technology; 2019. Available from: http://resolver.tudelft.nl/uuid:aceb6e2b-2daf-4abe-b28a-e5917b55ec46


Delft University of Technology

14. van der Weijst, Roel (author). Numerical Solutions for the Stochastic Local Volatility Model.

Degree: 2017, Delft University of Technology

This thesis is about pricing European options and forward start options under the Heston LSV model. The impact of conditionally calibrating the Heston parameters on… (more)

Subjects/Keywords: multilevel Monte Carlo; Local Stochastic Volatility; Forward Start Option; Option Pricing; Heston; Calibration

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APA (6th Edition):

van der Weijst, R. (. (2017). Numerical Solutions for the Stochastic Local Volatility Model. (Masters Thesis). Delft University of Technology. Retrieved from http://resolver.tudelft.nl/uuid:029cbbc3-d4d4-4582-8be2-e0979e9f6bc3

Chicago Manual of Style (16th Edition):

van der Weijst, Roel (author). “Numerical Solutions for the Stochastic Local Volatility Model.” 2017. Masters Thesis, Delft University of Technology. Accessed December 05, 2020. http://resolver.tudelft.nl/uuid:029cbbc3-d4d4-4582-8be2-e0979e9f6bc3.

MLA Handbook (7th Edition):

van der Weijst, Roel (author). “Numerical Solutions for the Stochastic Local Volatility Model.” 2017. Web. 05 Dec 2020.

Vancouver:

van der Weijst R(. Numerical Solutions for the Stochastic Local Volatility Model. [Internet] [Masters thesis]. Delft University of Technology; 2017. [cited 2020 Dec 05]. Available from: http://resolver.tudelft.nl/uuid:029cbbc3-d4d4-4582-8be2-e0979e9f6bc3.

Council of Science Editors:

van der Weijst R(. Numerical Solutions for the Stochastic Local Volatility Model. [Masters Thesis]. Delft University of Technology; 2017. Available from: http://resolver.tudelft.nl/uuid:029cbbc3-d4d4-4582-8be2-e0979e9f6bc3


Delft University of Technology

15. van Tol, Lieselotte (author). Cumulative Prospect Theory in Option Valuation and Portfolio Management.

Degree: 2018, Delft University of Technology

 This thesis deals with different models for decision-making under risk in financial applications, mainly models that incorporate irrational human behavior. First of all, traditional expected… (more)

Subjects/Keywords: cumulative prospect theory; option valuation; portfolio management

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APA (6th Edition):

van Tol, L. (. (2018). Cumulative Prospect Theory in Option Valuation and Portfolio Management. (Masters Thesis). Delft University of Technology. Retrieved from http://resolver.tudelft.nl/uuid:096c4bb1-74b1-4ae3-929c-02b547efbc59

Chicago Manual of Style (16th Edition):

van Tol, Lieselotte (author). “Cumulative Prospect Theory in Option Valuation and Portfolio Management.” 2018. Masters Thesis, Delft University of Technology. Accessed December 05, 2020. http://resolver.tudelft.nl/uuid:096c4bb1-74b1-4ae3-929c-02b547efbc59.

MLA Handbook (7th Edition):

van Tol, Lieselotte (author). “Cumulative Prospect Theory in Option Valuation and Portfolio Management.” 2018. Web. 05 Dec 2020.

Vancouver:

van Tol L(. Cumulative Prospect Theory in Option Valuation and Portfolio Management. [Internet] [Masters thesis]. Delft University of Technology; 2018. [cited 2020 Dec 05]. Available from: http://resolver.tudelft.nl/uuid:096c4bb1-74b1-4ae3-929c-02b547efbc59.

Council of Science Editors:

van Tol L(. Cumulative Prospect Theory in Option Valuation and Portfolio Management. [Masters Thesis]. Delft University of Technology; 2018. Available from: http://resolver.tudelft.nl/uuid:096c4bb1-74b1-4ae3-929c-02b547efbc59


Delft University of Technology

16. Beltz, Erwin (author). An analytical approach to the Generalized Tally Game.

Degree: 2017, Delft University of Technology

In this thesis, we find optimal strategies for both players in the generalized tally game, mainly using Glicksberg's theorem and minimax theorem. Analytical and numerical… (more)

Subjects/Keywords: Game Theory; Joint Replenishment Problem; Generalized Tally Game

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APA (6th Edition):

Beltz, E. (. (2017). An analytical approach to the Generalized Tally Game. (Masters Thesis). Delft University of Technology. Retrieved from http://resolver.tudelft.nl/uuid:49b5caf5-0c63-45cd-ba1a-0818a25fe4bd

Chicago Manual of Style (16th Edition):

Beltz, Erwin (author). “An analytical approach to the Generalized Tally Game.” 2017. Masters Thesis, Delft University of Technology. Accessed December 05, 2020. http://resolver.tudelft.nl/uuid:49b5caf5-0c63-45cd-ba1a-0818a25fe4bd.

MLA Handbook (7th Edition):

Beltz, Erwin (author). “An analytical approach to the Generalized Tally Game.” 2017. Web. 05 Dec 2020.

Vancouver:

Beltz E(. An analytical approach to the Generalized Tally Game. [Internet] [Masters thesis]. Delft University of Technology; 2017. [cited 2020 Dec 05]. Available from: http://resolver.tudelft.nl/uuid:49b5caf5-0c63-45cd-ba1a-0818a25fe4bd.

Council of Science Editors:

Beltz E(. An analytical approach to the Generalized Tally Game. [Masters Thesis]. Delft University of Technology; 2017. Available from: http://resolver.tudelft.nl/uuid:49b5caf5-0c63-45cd-ba1a-0818a25fe4bd


Delft University of Technology

17. Saito, Taiyo (author). Mortgage Prepayment Rate Estimation with Machine Learning.

Degree: 2018, Delft University of Technology

The aim of this thesis is to forecast the evolution of the prepayment rate in a mortgage portfolio. In the Netherlands, people with a loan… (more)

Subjects/Keywords: Neural Networks; Random Forest; Conditional Prepayment Rate; Imbalanced learning; Mortgages

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APA (6th Edition):

Saito, T. (. (2018). Mortgage Prepayment Rate Estimation with Machine Learning. (Masters Thesis). Delft University of Technology. Retrieved from http://resolver.tudelft.nl/uuid:500f39d8-bf25-4c80-8346-d2d7978b4c48

Chicago Manual of Style (16th Edition):

Saito, Taiyo (author). “Mortgage Prepayment Rate Estimation with Machine Learning.” 2018. Masters Thesis, Delft University of Technology. Accessed December 05, 2020. http://resolver.tudelft.nl/uuid:500f39d8-bf25-4c80-8346-d2d7978b4c48.

MLA Handbook (7th Edition):

Saito, Taiyo (author). “Mortgage Prepayment Rate Estimation with Machine Learning.” 2018. Web. 05 Dec 2020.

Vancouver:

Saito T(. Mortgage Prepayment Rate Estimation with Machine Learning. [Internet] [Masters thesis]. Delft University of Technology; 2018. [cited 2020 Dec 05]. Available from: http://resolver.tudelft.nl/uuid:500f39d8-bf25-4c80-8346-d2d7978b4c48.

Council of Science Editors:

Saito T(. Mortgage Prepayment Rate Estimation with Machine Learning. [Masters Thesis]. Delft University of Technology; 2018. Available from: http://resolver.tudelft.nl/uuid:500f39d8-bf25-4c80-8346-d2d7978b4c48


Delft University of Technology

18. Deckers, Joeri (author). Pricing of Non-Life Insurance Products.

Degree: 2017, Delft University of Technology

 A medium size Dutch insurance company with third-party car insurance products initiated questions on whether the premium can be based on a statistical analysis where… (more)

Subjects/Keywords: generalized linear model

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APA (6th Edition):

Deckers, J. (. (2017). Pricing of Non-Life Insurance Products. (Masters Thesis). Delft University of Technology. Retrieved from http://resolver.tudelft.nl/uuid:7ad10f3d-4a92-4e9e-bcdb-c3380faac36a

Chicago Manual of Style (16th Edition):

Deckers, Joeri (author). “Pricing of Non-Life Insurance Products.” 2017. Masters Thesis, Delft University of Technology. Accessed December 05, 2020. http://resolver.tudelft.nl/uuid:7ad10f3d-4a92-4e9e-bcdb-c3380faac36a.

MLA Handbook (7th Edition):

Deckers, Joeri (author). “Pricing of Non-Life Insurance Products.” 2017. Web. 05 Dec 2020.

Vancouver:

Deckers J(. Pricing of Non-Life Insurance Products. [Internet] [Masters thesis]. Delft University of Technology; 2017. [cited 2020 Dec 05]. Available from: http://resolver.tudelft.nl/uuid:7ad10f3d-4a92-4e9e-bcdb-c3380faac36a.

Council of Science Editors:

Deckers J(. Pricing of Non-Life Insurance Products. [Masters Thesis]. Delft University of Technology; 2017. Available from: http://resolver.tudelft.nl/uuid:7ad10f3d-4a92-4e9e-bcdb-c3380faac36a


Delft University of Technology

19. Koopman, Daan (author). Modelling Terrorist Attacks.

Degree: 2018, Delft University of Technology

This thesis adds to quantitative literature on terrorism by examining the relationship between various annual country statistics and the number of terrorist attacks. In addition,… (more)

Subjects/Keywords: Terrorism; Modelling; Forecasting

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APA (6th Edition):

Koopman, D. (. (2018). Modelling Terrorist Attacks. (Masters Thesis). Delft University of Technology. Retrieved from http://resolver.tudelft.nl/uuid:8be343eb-300f-456e-b700-b8251d1f2c0e

Chicago Manual of Style (16th Edition):

Koopman, Daan (author). “Modelling Terrorist Attacks.” 2018. Masters Thesis, Delft University of Technology. Accessed December 05, 2020. http://resolver.tudelft.nl/uuid:8be343eb-300f-456e-b700-b8251d1f2c0e.

MLA Handbook (7th Edition):

Koopman, Daan (author). “Modelling Terrorist Attacks.” 2018. Web. 05 Dec 2020.

Vancouver:

Koopman D(. Modelling Terrorist Attacks. [Internet] [Masters thesis]. Delft University of Technology; 2018. [cited 2020 Dec 05]. Available from: http://resolver.tudelft.nl/uuid:8be343eb-300f-456e-b700-b8251d1f2c0e.

Council of Science Editors:

Koopman D(. Modelling Terrorist Attacks. [Masters Thesis]. Delft University of Technology; 2018. Available from: http://resolver.tudelft.nl/uuid:8be343eb-300f-456e-b700-b8251d1f2c0e


Delft University of Technology

20. Lee, Alexander (author). Using futures in yield curve calibration.

Degree: 2019, Delft University of Technology

 The yield curve represents market supply and demand implied expectations of future interest rates and is calibrated from the most liquidly traded interest rate derivatives… (more)

Subjects/Keywords: Futures; Interest rates; Calibration; Greeks; Volatility smile; Yield curve

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APA (6th Edition):

Lee, A. (. (2019). Using futures in yield curve calibration. (Masters Thesis). Delft University of Technology. Retrieved from http://resolver.tudelft.nl/uuid:27b216aa-a514-4339-a6e2-80952d19d794

Chicago Manual of Style (16th Edition):

Lee, Alexander (author). “Using futures in yield curve calibration.” 2019. Masters Thesis, Delft University of Technology. Accessed December 05, 2020. http://resolver.tudelft.nl/uuid:27b216aa-a514-4339-a6e2-80952d19d794.

MLA Handbook (7th Edition):

Lee, Alexander (author). “Using futures in yield curve calibration.” 2019. Web. 05 Dec 2020.

Vancouver:

Lee A(. Using futures in yield curve calibration. [Internet] [Masters thesis]. Delft University of Technology; 2019. [cited 2020 Dec 05]. Available from: http://resolver.tudelft.nl/uuid:27b216aa-a514-4339-a6e2-80952d19d794.

Council of Science Editors:

Lee A(. Using futures in yield curve calibration. [Masters Thesis]. Delft University of Technology; 2019. Available from: http://resolver.tudelft.nl/uuid:27b216aa-a514-4339-a6e2-80952d19d794


Delft University of Technology

21. Pluim, Joost (author). An analysis of Generative Adversarial Networks on lower dimensional spaces.

Degree: 2019, Delft University of Technology

Generative Adversarial Networks (GANs) provide a new way of generating data. In this thesis, a strictly controlled parameter space is introduced from which a sample… (more)

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APA (6th Edition):

Pluim, J. (. (2019). An analysis of Generative Adversarial Networks on lower dimensional spaces. (Masters Thesis). Delft University of Technology. Retrieved from http://resolver.tudelft.nl/uuid:a84af010-f0b8-48e7-a017-9fe98ca902ee

Chicago Manual of Style (16th Edition):

Pluim, Joost (author). “An analysis of Generative Adversarial Networks on lower dimensional spaces.” 2019. Masters Thesis, Delft University of Technology. Accessed December 05, 2020. http://resolver.tudelft.nl/uuid:a84af010-f0b8-48e7-a017-9fe98ca902ee.

MLA Handbook (7th Edition):

Pluim, Joost (author). “An analysis of Generative Adversarial Networks on lower dimensional spaces.” 2019. Web. 05 Dec 2020.

Vancouver:

Pluim J(. An analysis of Generative Adversarial Networks on lower dimensional spaces. [Internet] [Masters thesis]. Delft University of Technology; 2019. [cited 2020 Dec 05]. Available from: http://resolver.tudelft.nl/uuid:a84af010-f0b8-48e7-a017-9fe98ca902ee.

Council of Science Editors:

Pluim J(. An analysis of Generative Adversarial Networks on lower dimensional spaces. [Masters Thesis]. Delft University of Technology; 2019. Available from: http://resolver.tudelft.nl/uuid:a84af010-f0b8-48e7-a017-9fe98ca902ee


Delft University of Technology

22. de Vries, Tjeerd (author). Market consistent valuation of deferred taxes.

Degree: 2018, Delft University of Technology

This thesis develops a continuous time framework to value deferred taxes using Black and Scholes (1973) type option pricing techniques. The valuation renders a market… (more)

Subjects/Keywords: Deferred tax valuation; Martingale pricing; Optimal capital structures; Loss absorbing capacity of deferred taxes

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APA (6th Edition):

de Vries, T. (. (2018). Market consistent valuation of deferred taxes. (Masters Thesis). Delft University of Technology. Retrieved from http://resolver.tudelft.nl/uuid:21c30103-ffc7-4592-854a-c3185f835b2a

Chicago Manual of Style (16th Edition):

de Vries, Tjeerd (author). “Market consistent valuation of deferred taxes.” 2018. Masters Thesis, Delft University of Technology. Accessed December 05, 2020. http://resolver.tudelft.nl/uuid:21c30103-ffc7-4592-854a-c3185f835b2a.

MLA Handbook (7th Edition):

de Vries, Tjeerd (author). “Market consistent valuation of deferred taxes.” 2018. Web. 05 Dec 2020.

Vancouver:

de Vries T(. Market consistent valuation of deferred taxes. [Internet] [Masters thesis]. Delft University of Technology; 2018. [cited 2020 Dec 05]. Available from: http://resolver.tudelft.nl/uuid:21c30103-ffc7-4592-854a-c3185f835b2a.

Council of Science Editors:

de Vries T(. Market consistent valuation of deferred taxes. [Masters Thesis]. Delft University of Technology; 2018. Available from: http://resolver.tudelft.nl/uuid:21c30103-ffc7-4592-854a-c3185f835b2a


Delft University of Technology

23. Wagner, Emma (author). On the Application of Shannon Wavelet Inverse Fourier Techniques: An Extension to Asian Option Valuation and European Option Pricing under the SABR Model.

Degree: 2017, Delft University of Technology

This work is on the extension of the SWIFT method to option pricing problems where the sum of lognormals occurs. The SWIFT method (ShannonWavelet Inverse… (more)

Subjects/Keywords: Shannon wavelets; Option Pricing; Asian Options; SABR model; Fourier Transform; Levy process

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APA (6th Edition):

Wagner, E. (. (2017). On the Application of Shannon Wavelet Inverse Fourier Techniques: An Extension to Asian Option Valuation and European Option Pricing under the SABR Model. (Masters Thesis). Delft University of Technology. Retrieved from http://resolver.tudelft.nl/uuid:246714bf-fd09-4b04-90b9-b1a070b3c9a3

Chicago Manual of Style (16th Edition):

Wagner, Emma (author). “On the Application of Shannon Wavelet Inverse Fourier Techniques: An Extension to Asian Option Valuation and European Option Pricing under the SABR Model.” 2017. Masters Thesis, Delft University of Technology. Accessed December 05, 2020. http://resolver.tudelft.nl/uuid:246714bf-fd09-4b04-90b9-b1a070b3c9a3.

MLA Handbook (7th Edition):

Wagner, Emma (author). “On the Application of Shannon Wavelet Inverse Fourier Techniques: An Extension to Asian Option Valuation and European Option Pricing under the SABR Model.” 2017. Web. 05 Dec 2020.

Vancouver:

Wagner E(. On the Application of Shannon Wavelet Inverse Fourier Techniques: An Extension to Asian Option Valuation and European Option Pricing under the SABR Model. [Internet] [Masters thesis]. Delft University of Technology; 2017. [cited 2020 Dec 05]. Available from: http://resolver.tudelft.nl/uuid:246714bf-fd09-4b04-90b9-b1a070b3c9a3.

Council of Science Editors:

Wagner E(. On the Application of Shannon Wavelet Inverse Fourier Techniques: An Extension to Asian Option Valuation and European Option Pricing under the SABR Model. [Masters Thesis]. Delft University of Technology; 2017. Available from: http://resolver.tudelft.nl/uuid:246714bf-fd09-4b04-90b9-b1a070b3c9a3


Delft University of Technology

24. Casamassima, Emanuele (author). Pricing and Hedging of a Mortgage Portfolio.

Degree: 2018, Delft University of Technology

 Forecasting the prepayments is essential for any financial institution providing mortgages, and it is a crucial step in the hedging of the risk resulting from… (more)

Subjects/Keywords: Prepayment option; Linear risk; Non-linear risk; Refinancing Incentive; Swaption; Mortgages; Hull-White

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APA (6th Edition):

Casamassima, E. (. (2018). Pricing and Hedging of a Mortgage Portfolio. (Masters Thesis). Delft University of Technology. Retrieved from http://resolver.tudelft.nl/uuid:e514846b-1ff8-47cd-b774-d3b5c29adca6

Chicago Manual of Style (16th Edition):

Casamassima, Emanuele (author). “Pricing and Hedging of a Mortgage Portfolio.” 2018. Masters Thesis, Delft University of Technology. Accessed December 05, 2020. http://resolver.tudelft.nl/uuid:e514846b-1ff8-47cd-b774-d3b5c29adca6.

MLA Handbook (7th Edition):

Casamassima, Emanuele (author). “Pricing and Hedging of a Mortgage Portfolio.” 2018. Web. 05 Dec 2020.

Vancouver:

Casamassima E(. Pricing and Hedging of a Mortgage Portfolio. [Internet] [Masters thesis]. Delft University of Technology; 2018. [cited 2020 Dec 05]. Available from: http://resolver.tudelft.nl/uuid:e514846b-1ff8-47cd-b774-d3b5c29adca6.

Council of Science Editors:

Casamassima E(. Pricing and Hedging of a Mortgage Portfolio. [Masters Thesis]. Delft University of Technology; 2018. Available from: http://resolver.tudelft.nl/uuid:e514846b-1ff8-47cd-b774-d3b5c29adca6


Delft University of Technology

25. den Haan, Tim (author). Dynamic Life Cycle Investing.

Degree: 2019, Delft University of Technology

This thesis studies the asset allocation of a DC pension investor over a long time horizon. Investors allocate their portfolio wealth between two assets: a… (more)

Subjects/Keywords: Pension investor; Portfolio optimization; Rule-based control; Dynamic Programming; smoothing

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APA (6th Edition):

den Haan, T. (. (2019). Dynamic Life Cycle Investing. (Masters Thesis). Delft University of Technology. Retrieved from http://resolver.tudelft.nl/uuid:495de739-9df7-4333-9da7-8c5b10bd9589

Chicago Manual of Style (16th Edition):

den Haan, Tim (author). “Dynamic Life Cycle Investing.” 2019. Masters Thesis, Delft University of Technology. Accessed December 05, 2020. http://resolver.tudelft.nl/uuid:495de739-9df7-4333-9da7-8c5b10bd9589.

MLA Handbook (7th Edition):

den Haan, Tim (author). “Dynamic Life Cycle Investing.” 2019. Web. 05 Dec 2020.

Vancouver:

den Haan T(. Dynamic Life Cycle Investing. [Internet] [Masters thesis]. Delft University of Technology; 2019. [cited 2020 Dec 05]. Available from: http://resolver.tudelft.nl/uuid:495de739-9df7-4333-9da7-8c5b10bd9589.

Council of Science Editors:

den Haan T(. Dynamic Life Cycle Investing. [Masters Thesis]. Delft University of Technology; 2019. Available from: http://resolver.tudelft.nl/uuid:495de739-9df7-4333-9da7-8c5b10bd9589


Delft University of Technology

26. Tijink, Jan (author). Generation of multivariate time series using neural networks.

Degree: 2018, Delft University of Technology

Applied Mathematics | Financial Engineering Advisors/Committee Members: Oosterlee, Kees (mentor), den Dunnen, Wilco (mentor), Delft University of Technology (degree granting institution).

Subjects/Keywords: Neural Networks; Time series; generation; Generation; neural networks; time series; Distribution

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APA (6th Edition):

Tijink, J. (. (2018). Generation of multivariate time series using neural networks. (Masters Thesis). Delft University of Technology. Retrieved from http://resolver.tudelft.nl/uuid:b1cc2e66-dabb-497f-a3ea-5d37a17eb742

Chicago Manual of Style (16th Edition):

Tijink, Jan (author). “Generation of multivariate time series using neural networks.” 2018. Masters Thesis, Delft University of Technology. Accessed December 05, 2020. http://resolver.tudelft.nl/uuid:b1cc2e66-dabb-497f-a3ea-5d37a17eb742.

MLA Handbook (7th Edition):

Tijink, Jan (author). “Generation of multivariate time series using neural networks.” 2018. Web. 05 Dec 2020.

Vancouver:

Tijink J(. Generation of multivariate time series using neural networks. [Internet] [Masters thesis]. Delft University of Technology; 2018. [cited 2020 Dec 05]. Available from: http://resolver.tudelft.nl/uuid:b1cc2e66-dabb-497f-a3ea-5d37a17eb742.

Council of Science Editors:

Tijink J(. Generation of multivariate time series using neural networks. [Masters Thesis]. Delft University of Technology; 2018. Available from: http://resolver.tudelft.nl/uuid:b1cc2e66-dabb-497f-a3ea-5d37a17eb742

.