• The role of adaptivity in a numerical method for the Cox-Ingersoll-Ross model 

  Maulana, Heru (University College Cork, 2022-07-04)

  We demonstrate the effectiveness of an adaptive explicit Euler method for the approximate solution of the Cox-Ingersoll-Ross model. This relies on a class of path-bounded timestepping strategies which work by reducing ...
• Option pricing and CVA calculations using the Monte Carlo-Tree (MC-Tree) method 

  Trinh, Yen Thuan (University College Cork, 2022-07-18)

  The thesis introduces a new method, the MC-Tree method, for pricing certain financial derivatives, especially options with high accuracy and efficiency. Our solution is to combine Monte Carlo (MC) method and Tree method ...
• Application of cointegrated state-space models to financial and economic data 

  Al-qurashi, Miaad Hamad (University College Cork, 2021-02-01)

  In the dynamic stochastic modeling of financial and economic time series, the concept of cointegration plays an important role. It refers to the existence of long-term equilibrium relations between variables in a dynamic ...
• Algebraic central limit theorems in noncommutative probability 

  Alahmade, Ayman (University College Cork, 2022-01-24)

  Distributional symmetries and invariance principles in noncommutative probability theory provide sufficient conditions for the existence of central limit laws. In contrast to classical probability theory, there exist many ...
• An exploration of open coupled-cavity lasers: from exceptional points to dynamics 

  O'Connor, Christopher P.J. (University College Cork, 2020-12-24)

  In optical communications, there is an increase in demand for investigation of multisection laser cavities, which are involved in the development of Photonic Integrated Circuits or PICs. The requirement for such circuits ...

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