Browsing Magister Scientiae - MSc (Mathematics and Applied Mathematics) by Subject "Monte Carlo method"

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  • Efficient Monte Carlo methods for pricing of electricity derivatives 

    Nobaza, Linda (University of the Western Cape, 2012)
    We discuss efficient Monte Carlo methods for pricing of electricity derivatives. Electricity derivatives are risk management tools used in deregulated electricity markets. In the past,research in electricity derivatives ...

  • Numerical methods for the valuation of financial derivatives 

    Ntwiga, Davis Bundi (University of the Western Cape, 2005)
    Numerical methods form an important part of the pricing of financial derivatives and especially in cases where there is no closed form analytical formula. We begin our work with an introduction of the mathematical tools ...