搜索结果: 1-5 共查到“货币银行学 Monte Carlo”相关记录5条 . 查询时间(0.107 秒)
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...
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...
Adaptive Monte Carlo methods are recent variance reduction techniques. In this work, we propose a mathematical setting which greatly relaxes the assumptions needed by for the adaptive importance samp...
An application to credit risk of a hybrid Monte Carlo-Optimal quantization method
credit risk structural approach survival probability partial informainformation filtering optimal quantization Monte Carlo method
2010/11/1
In this paper we use a hybrid Monte Carlo-Optimal quantization method to approximate the conditional survival probabilities of a firm, given a structural model for its credit default, under partial in...
Addressing the bias in Monte Carlo pricing of multi-asset options with multiple barriers through discrete sampling
Monte Carlo simulation extreme values Brownian Bridge multi-asset barrier option multi-variate joint distribution Fr´ echet bounds
2010/10/29
An efficient conditioning technique, the so-called Brownian Bridge simulation, has previously
been applied to eliminate pricing bias that arises in applications of the standard
discrete-time Monte C...