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You searched for subject:(COS method). Showing records 1 – 7 of 7 total matches.

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Delft University of Technology

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

Degree: 2019, Delft University of Technology

URL: http://resolver.tudelft.nl/uuid:2a29f2c2-20c1-4a6e-8a7e-bb05662fd844 

► 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 · Chicago · MLA · Vancouver · CSE | Export to Zotero / EndNote / Reference Manager

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 January 19, 2021. 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. 19 Jan 2021.

Vancouver:

Jonker H(. Valuation of natural gas storage contracts with the COS method. [Internet] [Masters thesis]. Delft University of Technology; 2019. [cited 2021 Jan 19]. 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


Universitat Autònoma de Barcelona

2. Borràs Julibert, Fedra. Avaluació d’un programa d’educació psicofísica per a flautistes.

Degree: Departament de Didàctica de l'Expressió Musical, Plàstica i Corporal, 2016, Universitat Autònoma de Barcelona

URL: http://hdl.handle.net/10803/393873 

► The development of body awareness in the practice of a musical instrument has become an emerging interest in the field of academic research. Every time… (more)

Subjects/Keywords: Consciència corporal; Conciencia corporal; Body awareness; Flauta travessera; Flauta travesera; Flute; Mètode cos-art; Método cos-art; Cos-art method; Ciències Socials; 78

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APA (6th Edition):

Borràs Julibert, F. (2016). Avaluació d’un programa d’educació psicofísica per a flautistes. (Thesis). Universitat Autònoma de Barcelona. Retrieved from http://hdl.handle.net/10803/393873

Note: this citation may be lacking information needed for this citation format:
Not specified: Masters Thesis or Doctoral Dissertation

Chicago Manual of Style (16th Edition):

Borràs Julibert, Fedra. “Avaluació d’un programa d’educació psicofísica per a flautistes.” 2016. Thesis, Universitat Autònoma de Barcelona. Accessed January 19, 2021. http://hdl.handle.net/10803/393873.

Note: this citation may be lacking information needed for this citation format:
Not specified: Masters Thesis or Doctoral Dissertation

MLA Handbook (7th Edition):

Borràs Julibert, Fedra. “Avaluació d’un programa d’educació psicofísica per a flautistes.” 2016. Web. 19 Jan 2021.

Vancouver:

Borràs Julibert F. Avaluació d’un programa d’educació psicofísica per a flautistes. [Internet] [Thesis]. Universitat Autònoma de Barcelona; 2016. [cited 2021 Jan 19]. Available from: http://hdl.handle.net/10803/393873.

Note: this citation may be lacking information needed for this citation format:
Not specified: Masters Thesis or Doctoral Dissertation

Council of Science Editors:

Borràs Julibert F. Avaluació d’un programa d’educació psicofísica per a flautistes. [Thesis]. Universitat Autònoma de Barcelona; 2016. Available from: http://hdl.handle.net/10803/393873

Note: this citation may be lacking information needed for this citation format:
Not specified: Masters Thesis or Doctoral Dissertation


Delft University of Technology

3. Li, J. (author). The Heston model with term structure.

Degree: 2009, Delft University of Technology

URL: http://resolver.tudelft.nl/uuid:c608d89f-a2cc-47fb-bab1-683332195138 

► 

The purpose of this project is to extend the Heston model in order to incorporate the term structure (TS) of the implied volatility surface. This… (more)

Subjects/Keywords: Heston model; term structure; COS method; calibration

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APA · Chicago · MLA · Vancouver · CSE | Export to Zotero / EndNote / Reference Manager

APA (6th Edition):

Li, J. (. (2009). The Heston model with term structure. (Masters Thesis). Delft University of Technology. Retrieved from http://resolver.tudelft.nl/uuid:c608d89f-a2cc-47fb-bab1-683332195138

Chicago Manual of Style (16th Edition):

Li, J (author). “The Heston model with term structure.” 2009. Masters Thesis, Delft University of Technology. Accessed January 19, 2021. http://resolver.tudelft.nl/uuid:c608d89f-a2cc-47fb-bab1-683332195138.

MLA Handbook (7th Edition):

Li, J (author). “The Heston model with term structure.” 2009. Web. 19 Jan 2021.

Vancouver:

Li J(. The Heston model with term structure. [Internet] [Masters thesis]. Delft University of Technology; 2009. [cited 2021 Jan 19]. Available from: http://resolver.tudelft.nl/uuid:c608d89f-a2cc-47fb-bab1-683332195138.

Council of Science Editors:

Li J(. The Heston model with term structure. [Masters Thesis]. Delft University of Technology; 2009. Available from: http://resolver.tudelft.nl/uuid:c608d89f-a2cc-47fb-bab1-683332195138


Delft University of Technology

4. Erkan, K.E. (author). European option pricing under the rough Heston model using the COS method.

Degree: 2020, Delft University of Technology

URL: http://resolver.tudelft.nl/uuid:721510e7-6393-4b5e-af07-75063ced210c 

► 

This thesis is about pricing European options using a Fourier-based numerical method called the COS method under the rough Heston model. Besides examining the efficiency… (more)

Subjects/Keywords: Option Pricing; European Options; Rough Heston Model; Rough Volatility; COS method; Artificial Neural Networks; Monte Carlo Simulation; Fractional Brownian Motion

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APA · Chicago · MLA · Vancouver · CSE | Export to Zotero / EndNote / Reference Manager

APA (6th Edition):

Erkan, K. E. (. (2020). European option pricing under the rough Heston model using the COS method. (Masters Thesis). Delft University of Technology. Retrieved from http://resolver.tudelft.nl/uuid:721510e7-6393-4b5e-af07-75063ced210c

Chicago Manual of Style (16th Edition):

Erkan, K E (author). “European option pricing under the rough Heston model using the COS method.” 2020. Masters Thesis, Delft University of Technology. Accessed January 19, 2021. http://resolver.tudelft.nl/uuid:721510e7-6393-4b5e-af07-75063ced210c.

MLA Handbook (7th Edition):

Erkan, K E (author). “European option pricing under the rough Heston model using the COS method.” 2020. Web. 19 Jan 2021.

Vancouver:

Erkan KE(. European option pricing under the rough Heston model using the COS method. [Internet] [Masters thesis]. Delft University of Technology; 2020. [cited 2021 Jan 19]. Available from: http://resolver.tudelft.nl/uuid:721510e7-6393-4b5e-af07-75063ced210c.

Council of Science Editors:

Erkan KE(. European option pricing under the rough Heston model using the COS method. [Masters Thesis]. Delft University of Technology; 2020. Available from: http://resolver.tudelft.nl/uuid:721510e7-6393-4b5e-af07-75063ced210c


Delft University of Technology

5. Boonstra, B.C. (author). Valuation of electricity storage contracts based on the COS method: with underlying polynomial electricity prices.

Degree: 2020, Delft University of Technology

URL: http://resolver.tudelft.nl/uuid:bf0c3ee6-51c0-40aa-8a96-fc5e20ea1bdd 

► 

In this thesis we introduce valuation techniques to price electricity storage contracts, where the electricity prices follow a structural model based on polynomial processes. In… (more)

Subjects/Keywords: Electricity storage contract; Valuation; COS method; Polynomial processes; Least Squares Monte Carlo; Options; Electricity Prices; Energy markets; Characteristic function

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APA (6th Edition):

Boonstra, B. C. (. (2020). Valuation of electricity storage contracts based on the COS method: with underlying polynomial electricity prices. (Masters Thesis). Delft University of Technology. Retrieved from http://resolver.tudelft.nl/uuid:bf0c3ee6-51c0-40aa-8a96-fc5e20ea1bdd

Chicago Manual of Style (16th Edition):

Boonstra, B C (author). “Valuation of electricity storage contracts based on the COS method: with underlying polynomial electricity prices.” 2020. Masters Thesis, Delft University of Technology. Accessed January 19, 2021. http://resolver.tudelft.nl/uuid:bf0c3ee6-51c0-40aa-8a96-fc5e20ea1bdd.

MLA Handbook (7th Edition):

Boonstra, B C (author). “Valuation of electricity storage contracts based on the COS method: with underlying polynomial electricity prices.” 2020. Web. 19 Jan 2021.

Vancouver:

Boonstra BC(. Valuation of electricity storage contracts based on the COS method: with underlying polynomial electricity prices. [Internet] [Masters thesis]. Delft University of Technology; 2020. [cited 2021 Jan 19]. Available from: http://resolver.tudelft.nl/uuid:bf0c3ee6-51c0-40aa-8a96-fc5e20ea1bdd.

Council of Science Editors:

Boonstra BC(. Valuation of electricity storage contracts based on the COS method: with underlying polynomial electricity prices. [Masters Thesis]. Delft University of Technology; 2020. Available from: http://resolver.tudelft.nl/uuid:bf0c3ee6-51c0-40aa-8a96-fc5e20ea1bdd


Delft University of Technology

6. Hazenoot, D. (author). Reduction of Computing Time for Numerical Pricing of European Multi-dimensional Options based on the COS Method.

Degree: 2016, Delft University of Technology

URL: http://resolver.tudelft.nl/uuid:1bde7f59-a491-4f53-8ac7-ea49a0eff43f 

► 

Numerical integration methods such as the Fourier-based COS method can be used for effciently and accurately pricing financial products. The COS method can be applied… (more)

Subjects/Keywords: option pricing; European options; multi-dimensional options; COS method; Fourier-cosine series; Fourier-cosine expansion; Fast Fourier Transform; discrete cosine transform; C; CPU computing; CUDA; GPU computing

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APA · Chicago · MLA · Vancouver · CSE | Export to Zotero / EndNote / Reference Manager

APA (6th Edition):

Hazenoot, D. (. (2016). Reduction of Computing Time for Numerical Pricing of European Multi-dimensional Options based on the COS Method. (Masters Thesis). Delft University of Technology. Retrieved from http://resolver.tudelft.nl/uuid:1bde7f59-a491-4f53-8ac7-ea49a0eff43f

Chicago Manual of Style (16th Edition):

Hazenoot, D (author). “Reduction of Computing Time for Numerical Pricing of European Multi-dimensional Options based on the COS Method.” 2016. Masters Thesis, Delft University of Technology. Accessed January 19, 2021. http://resolver.tudelft.nl/uuid:1bde7f59-a491-4f53-8ac7-ea49a0eff43f.

MLA Handbook (7th Edition):

Hazenoot, D (author). “Reduction of Computing Time for Numerical Pricing of European Multi-dimensional Options based on the COS Method.” 2016. Web. 19 Jan 2021.

Vancouver:

Hazenoot D(. Reduction of Computing Time for Numerical Pricing of European Multi-dimensional Options based on the COS Method. [Internet] [Masters thesis]. Delft University of Technology; 2016. [cited 2021 Jan 19]. Available from: http://resolver.tudelft.nl/uuid:1bde7f59-a491-4f53-8ac7-ea49a0eff43f.

Council of Science Editors:

Hazenoot D(. Reduction of Computing Time for Numerical Pricing of European Multi-dimensional Options based on the COS Method. [Masters Thesis]. Delft University of Technology; 2016. Available from: http://resolver.tudelft.nl/uuid:1bde7f59-a491-4f53-8ac7-ea49a0eff43f

7. Versteegh, M. (author). The Gibbs phenomenon in option pricing methods: Filtering and other techniques applied to the COS method.

Degree: 2012, Delft University of Technology

URL: http://resolver.tudelft.nl/uuid:163347e5-15f1-43ad-a801-ab926b0a026b 

► 

There are situations in which the COS method for option pricing has relatively slow convergence as a consequence of the Gibbs phenomenon. This thesis focusses… (more)

Subjects/Keywords: option pricing; cos method; gibbs phenomenon; filters; iprm; VG density; CIR; Heston; Gegenbauer

…and the Hilbert transform method and the recently developed COS method as proposed in [… …COS method, which will be described in detail in section 2-4. 1-2 Contents of the thesis… …series, its convergence properties and the Gibbs phenomenon. The COS method for option pricing… …theory also form the basis of the COS method, therefore we start with the definitions and some… …financial modelling, which is done by the COS method defined in section 2-4. Section 2-5 defines… 

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APA · Chicago · MLA · Vancouver · CSE | Export to Zotero / EndNote / Reference Manager

APA (6th Edition):

Versteegh, M. (. (2012). The Gibbs phenomenon in option pricing methods: Filtering and other techniques applied to the COS method. (Masters Thesis). Delft University of Technology. Retrieved from http://resolver.tudelft.nl/uuid:163347e5-15f1-43ad-a801-ab926b0a026b

Chicago Manual of Style (16th Edition):

Versteegh, M (author). “The Gibbs phenomenon in option pricing methods: Filtering and other techniques applied to the COS method.” 2012. Masters Thesis, Delft University of Technology. Accessed January 19, 2021. http://resolver.tudelft.nl/uuid:163347e5-15f1-43ad-a801-ab926b0a026b.

MLA Handbook (7th Edition):

Versteegh, M (author). “The Gibbs phenomenon in option pricing methods: Filtering and other techniques applied to the COS method.” 2012. Web. 19 Jan 2021.

Vancouver:

Versteegh M(. The Gibbs phenomenon in option pricing methods: Filtering and other techniques applied to the COS method. [Internet] [Masters thesis]. Delft University of Technology; 2012. [cited 2021 Jan 19]. Available from: http://resolver.tudelft.nl/uuid:163347e5-15f1-43ad-a801-ab926b0a026b.

Council of Science Editors:

Versteegh M(. The Gibbs phenomenon in option pricing methods: Filtering and other techniques applied to the COS method. [Masters Thesis]. Delft University of Technology; 2012. Available from: http://resolver.tudelft.nl/uuid:163347e5-15f1-43ad-a801-ab926b0a026b

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