搜索结果: 1-15 共查到“理论经济学 Monte Carlo”相关记录21条 . 查询时间(0.221 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 ...
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...
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...
Model Selection and Adaptive Markov chain Monte Carlo for Bayesian Cointegrated VAR model
Cointegrated Vector Auto Regressions Markov chain Monte Carlo
2010/4/28
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 Bayesian...
On generating Monte Carlo samples of continuous diffusion bridges
Stochastic diffusion equation, Sequential Monte Carlo, Resampling, Priority score, Backward pilot
2011/4/2
Diffusion processes are widely used in engineering, fiance, physics and other fields. Usually continuous time diffusion processes are only observable at discrete time points. For many applications, it...
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...
Bayesian Inference of Stochastic Volatility Model by Hybrid Monte Carlo
Hybrid Monte Carlo Algorithm Stochastic Volatility Model
2010/10/18
The hybrid Monte Carlo (HMC) algorithm is applied for the Bayesian inference of the stochastic volatility (SV) model. We use the HMC algorithm for the Markov chain Monte Carlo updates of volatility va...
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...