L’objectiu d’aquest treball és analitzar el risc de mercat dels fons d’inversió tot estimant el Value at Risk (VaR) mitjançant simulació de Monte Carlo. S’exposa el marc probabilístic necessari i la c...

[en] This thesis begins by giving four strokes on stochastic processes and with the characterization of Brownian motion, highlighting its fundamental properties and the highly irregular nature of its ...

The goal of this thesis is to understand why Hamiltonian Monte Carlo has become such a successful method in machine learning applications for sampling from complex probability distributions. This unde...