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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 (6^{th} 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 (16^{th} 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 (7^{th} 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 (6^{th} 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 (16^{th} 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 (7^{th} 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

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 (6^{th} 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 (16^{th} 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 (7^{th} 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 (6^{th} 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 (16^{th} 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 (7^{th} 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

Record Details Similar Records

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

APA (6^{th} 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 (16^{th} 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 (7^{th} 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

Record Details Similar Records

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

APA (6^{th} 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 (16^{th} 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 (7^{th} 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…

Record Details Similar Records

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

APA (6^{th} 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 (16^{th} 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 (7^{th} 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