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Browsing Ph.D. Theses by Author "Hörmann, Wolfgang."

Browsing Ph.D. Theses by Author "Hörmann, Wolfgang."

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  • Efficient simulations in finance 
    Sak, Halis. (Thesis (Ph.D.)-Bogazici University. Institute for Graduate Studies in Science and Engineering, 2008., 2008.)
    Measuring the risk of a credit portfolio is a challenge for financial institutions because of the regulations brought by the Basel Committee. In recent years lots of models and state-of-the-art methods, which utilize Monte ...
  • Efficient stratified sampling for financial risk simulation 
    Başoğlu, İsmail. (Thesis (Ph.D.)-Bogazici University. Institute for Graduate Studies in Science and Engineering, 2014., 2014.)
    Monte Carlo simulation is frequently the only method available for computing nancial risk, particularly under the realistic and complex portfolio models. The naive simulation generally leads to large con dence intervals ...
  • Numeric methods for stochastic disease spread models 
    Yıldız, Zeynep Gökçe. (Thesis (Ph.D.) - Bogazici University. Institute for Graduate Studies in Science and Engineering, 2020., 2020.)
    Disease spread models are important in controlling the new infectious diseases that suddenly threaten the public health. Mathematical tools are especially impor tant to understand the spread of the disease since experiments ...
  • Option pricing by simulation 
    Dingeç, Kemal Dinçer. (Thesis (Ph.D.)-Bogazici University. Institute for Graduate Studies in Science and Engineering, 2013., 2013.)
    The valuation of path dependent and multivariate options require efficient numerical methods, as their prices are not available in closed form. Monte Carlo simulation is one of the widely used techniques. Although simulation ...

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