ATTENTION/WARNING - NE PAS DÉPOSER ICI/DO NOT SUBMIT HERE

Ceci est la version de TEST de DIAL.mem. Veuillez ne pas soumettre votre mémoire sur ce site mais bien à l'URL suivante: 'https://thesis.dial.uclouvain.be'.
This is the TEST version of DIAL.mem. Please use the following URL to submit your master thesis: 'https://thesis.dial.uclouvain.be'.
 

Neural Networks for pricing derivatives on temperatures

Rosseels, Guillaume
(2021)

Files

Rosseels_Guillaume_46881500_2021.pdf
  • Open access
  • Adobe PDF
  • 3.61 MB
Download

Details

Supervisors
Hainaut Donatien
Faculty
Faculté des sciences
Degree label
Master [120] en sciences actuarielles, à finalité spécialisée
Abstract
In this thesis we will use neural networks to model the different components of temperatures. We will therefore try to validate our model assumptions on Madrid temperatures. Then , we will price options and futures contracts on these data thanks to Monte Carlo simulations in order to asses the impact of these assumptions on weather derivatives prices.