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Browsing Theses and Dissertations by Subject

Browsing Theses and Dissertations by Subject "Research Subject Categories::MATHEMATICS"

Now showing items 1-7 of 7

Calculation of manifold’s tangent space at a given point from noisy data

Toleubek, Moldir (Nazarbayev University School of Sciences and Humanities, 2020-05-04)

Recently, several studies have been conducted in a field of machine learning to construct manifolds from data in a complex multidimensional space. Therefore manifold learning becomes remarkably attractable among researchers. ...
Experimental study of Manifold learning and tangent propagation

Aman, Ayazhan (Nazarbayev University School of Sciences and Humanities, 2020-05-12)

In many data mining problems dealing with artificially high-dimensional data, can cause a lot of difficulties. This is due to the fact that interpreting a high-dimensional data can be very challenging. There are several ...
A Finite Element Approach to Solving Leland Model for Options Pricing

Zhumakhanova, Gulzat (Nazarbayev University School of Sciences and Humanities, 2020-04-30)

In this thesis work, the Leland model for pricing of European options is studied. Firstly, the derivation of the Leland model is introduced by using Ito’s lemma and synthesized replicate portfolio methodology. Then the ...
Pricing Convertible Bonds by Finite Element Method

Kazbek, Rakhymzhan (Nazarbayev University School of Sciences and Humanities, 2020-05-07)

In this thesis, the proposed problem is to solve the system of two-coupled Black-Scholes equations, which is the so called TF (Tsiveriotis and Fernandes) model [16], for pricing the convertible bonds by the finite element ...
Robust Prediction with Risk Measures

Duisenbay, Yerlan (Nazarbayev University School of Sciences and Humanities, 2020-04-29)

This thesis deals with coherent risk measures and its simulation with respect to different probability distributions. This study gives a numerical scheme to approximate any coherent risk measure via a sum of specific ...
Simulations of Implied Volatility and Option Pricing using Neural Networks and Finite Difference Methods for Heston Model

Arziyev, Sukhrat (Nazarbayev University School of Sciences and Humanities, 2020-04-30)

The theory of option pricing made a dramatic step forward when Black and Scholes published a centennial paper with a solution for the prices of European call and put options. However, their solution only deals with the ...
Some applications of potential theory for a degenerate type diffusion equation

Tengel, Kassymkhan (Nazarbayev University School of Sciences and Humanities, 2020-04-20)

This thesis is aimed to study boundary conditions for heat potentials for degeneratetype diffusion equations with initial condition and conductivity coefficient given by a time variable. Equations can be one-dimensional ...