搜索结果: 1-15 共查到“经济学 Monte Carlo”相关记录28条 . 查询时间(0.171 秒)
囊泡形成的自组装行为研究及Monte Carlo模拟（图）
Using high performance computing and Monte Carlo simulation for pricing american options
High performance computing NVidia CUDA GPGPU finance Monte Carlo American options
2012/6/5
High performance computing (HPC) is a very attractive and relatively new area of research, which gives promising results in many applications. In this paper HPC is used for pricing of American options...
Yield to maturity modelling and a Monte Carlo Technique for pricing Derivatives on Constant Maturity Treasury (CMT) and Derivatives on forward Bonds
interest rate bonds recovery rate survival probability hazard rate function yield to maturity CMS CMT
2012/4/28
This paper proposes a Monte Carlo technique for pricing the forward yield to maturity, when the volatility of the zero-coupon bond is known. We make the assumption of deterministic default intensity (...
Stochastic finite differences and multilevel Monte Carlo for a class of SPDEs in finance
Stochastic finite differences multilevel Monte Carlo class of SPDEs finance Computational Finance
2012/4/28
In this article, we propose a Milstein finite difference scheme for a stochastic partial differential equation (SPDE) describing a large particle system. We show, by means of Fourier analysis, that th...
Computing Functionals of Multidimensional Diffusions via Monte Carlo Methods
Computing Functionals of Multidimensional Diffusions Monte Carlo Methods Numerical Analysis Computational Finance
2012/4/28
We discuss suitable classes of diffusion processes, for which functionals relevant to finance can be computed via Monte Carlo methods. In particular, we construct exact simulation schemes for processe...
Multilevel Monte Carlo method for jump-diffusion SDEs
Multilevel Monte Carlo method jump-diffusion SDEs expected payoff jump rates
2011/7/4
We investigate the extension of the multilevel Monte Carlo path
simulation method to jump-diffusion SDEs. We consider models with
finite rate activity , using a jump-adapted discretisation in which ...
Multidimensional Quasi-Monte Carlo Malliavin Greeks
Greeks, Risk-Management Quasi-Monte Carlo Methods Malliavin Calculus
2011/3/31
We investigate the use of Malliavin calculus in order to calculate the Greeks of multidimensional complex path-dependent options by simulation. For this purpose, we extend the formulas employed by Mon...
Weighted Monte Carlo: Calibrating the Smile and Preserving Martingale Condition
Monte Carlo exotic options the Martingale condition might geometric cliquet option
2011/3/23
Weighted Monte Carlo prices exotic options calibrating the probabilities of previously generated paths by a regular Monte Carlo to fit a set of option premiums. When only vanilla call and put options ...
A Note on the Stability of the Least Squares Monte Carlo
option pricing optimal stopping American option Least Squares Monte Carlo Monte Carlo methods Ill-Conditioning
2011/3/23
This paper analyzes Least Squares Monte Carlo (LSM) algorithm, which is proposed by Longstaff and Schwartz (2001) for pricing American style securities. This algorithm is based on the projection of th...
The computation of Greeks with multilevel Monte Carlo
Monte Carlo pathwise sensitivities Likelihood Ratio Method
2011/3/23
We study the use of the multilevel Monte Carlo technique in the context of the calculation of Greeks. The pathwise sensitivity analysis differentiates the path evolution and reduces the payoff's smoot...
American Options Pricing under Stochastic Volatility: Approximation of the Early Exercise Surface and Monte Carlo Simulations
American Options Pricing Stochastic Volatility
2010/10/21
The aim of this study was to develop methods for evaluating the American-style option prices when the volatility of the underlying asset is described by a stochastic process. As part of this problem ...
On the Savety Loading for Chain Ladder Estimates: A Monte Carlo Simulation Study
Savety Loading Chain Ladder Estimates Monte Carlo Simulation Study
2010/10/21
A method for analysing the risk of taking a too low reserve level by use of Chain Ladder method is developed. We give an answer to the question of how much safety loading in terms of the Chain Ladder...
Model Selection and Adaptive Markov chain Monte Carlo for Bayesian Cointegrated VAR model
Markov chain Monte Carlo Bayesian Cointegrated VAR model
2010/10/19
This paper develops a matrix-variate adaptive Markov chain Monte Carlo (MCMC) methodology for Bayesian Cointegrated Vector Auto Regressions (CVAR). We replace the popular approach to sampling Bayesia...
Monte Carlo Portfolio Optimization for General Investor Risk-Return Objectives and Arbitrary Return Distributions: a Solution for Long-only Portfolios
Portfolio Optimization Optimisation Random Portfolio Monte Carlo Simplex
2010/10/21
We develop the idea of using Monte Carlo sampling of random portfolios to solve portfolio investment problems. In this first paper we explore the need for more general optimization tools, and conside...
Quantile Mechanics II: Changes of Variables in Monte Carlo methods and a GPU-Optimized Normal Quantile
Monte Carlo Student hyperbolic variance gamma, computational
2010/10/29
This article presents di erential equations and solution methods for the functions of the form A(z) = F1(G(z)), where F and G are cumu-lative distribution functions. Such functions allow the...