Browsing Magister Scientiae - MSc (Mathematics and Applied Mathematics) by Subject "Monte Carlo simulation"
Now showing items 1-2 of 2
-
Modelling the basel III capital adequacy and net stable funding ratios for a commercial bank following an optimal investment strategy
(University of the Western Cape, 2024)Commercial banks have a significant impact on a country’s economy as they raise capital, create liquidity by converting their customers’ deposits into loans, and deliver essential services such as loans, certificates of ... -
Multilevel Monte Carlo simulation in options pricing
(University of the Western Cape, 2014)In Monte Carlo path simulations, which are used extensively in computational -finance, one is interested in the expected value of a quantity which is a functional of the solution to a stochastic differential equation [M.B. ...