Download or read book Convergence Studies on Monte Carlo Methods for Pricing Mortgage Backed Securities written by Tao Pang and published by . This book was released on 2016 with total page 15 pages. Available in PDF, EPUB and Kindle. Book excerpt: Monte Carlo methods are widely-used simulation tools for market practitioners from trading to risk management. When pricing complex instruments, like mortgage-backed securities (MBS), strong path-dependency and high dimensionality make the Monte Carlo method the most suitable, if not the only, numerical method. In practice, while simulation processes in option-adjusted valuation can be relatively easy to implement, it is a well-known challenge that the convergence and the desired accuracy can only be achieved at the cost of lengthy computational times. In this paper, we study the convergence of Monte Carlo methods in calculating the option-adjusted spread (OAS), effective duration (DUR) and effective convexity (CNVX) of MBS instruments. We further define two new concepts, absolute convergence and relative convergence, and show that while the convergence of OAS requires thousands of simulation paths (absolute convergence), only hundreds of paths may be needed to obtain the desired accuracy for effective duration and effective convexity (relative convergence). These results suggest that practitioners can reduce the computational time substantially without sacrificing simulation accuracy.
Download or read book Pricing Mortgage backed Securities Using Prepayment written by and published by . This book was released on 2003 with total page 56 pages. Available in PDF, EPUB and Kindle. Book excerpt:
Download or read book A Comparison of Quasi Monte Carlo Techniques for Pricing Mortgage backed Securities written by Searle Silverman and published by . This book was released on 2004 with total page 188 pages. Available in PDF, EPUB and Kindle. Book excerpt:
Download or read book A Monte Carlo Pricing Model for Commercial Mortgage backed Securities written by George James Pappadopoulos and published by . This book was released on 1995 with total page 172 pages. Available in PDF, EPUB and Kindle. Book excerpt:
Download or read book Monte Carlo Methods in Financial Engineering written by Paul Glasserman and published by Springer Science & Business Media. This book was released on 2013-03-09 with total page 603 pages. Available in PDF, EPUB and Kindle. Book excerpt: From the reviews: "Paul Glasserman has written an astonishingly good book that bridges financial engineering and the Monte Carlo method. The book will appeal to graduate students, researchers, and most of all, practicing financial engineers [...] So often, financial engineering texts are very theoretical. This book is not." --Glyn Holton, Contingency Analysis
Download or read book Monte Carlo Methods and Models in Finance and Insurance written by Ralf Korn and published by CRC Press. This book was released on 2010-02-26 with total page 485 pages. Available in PDF, EPUB and Kindle. Book excerpt: Offering a unique balance between applications and calculations, Monte Carlo Methods and Models in Finance and Insurance incorporates the application background of finance and insurance with the theory and applications of Monte Carlo methods. It presents recent methods and algorithms, including the multilevel Monte Carlo method, the statistical Rom
Download or read book Monte Carlo Simulation and Finance written by Don L. McLeish and published by John Wiley & Sons. This book was released on 2011-09-13 with total page 308 pages. Available in PDF, EPUB and Kindle. Book excerpt: Monte Carlo methods have been used for decades in physics, engineering, statistics, and other fields. Monte Carlo Simulation and Finance explains the nuts and bolts of this essential technique used to value derivatives and other securities. Author and educator Don McLeish examines this fundamental process, and discusses important issues, including specialized problems in finance that Monte Carlo and Quasi-Monte Carlo methods can help solve and the different ways Monte Carlo methods can be improved upon. This state-of-the-art book on Monte Carlo simulation methods is ideal for finance professionals and students. Order your copy today.
Download or read book Financial Ecosystem and Strategy in the Digital Era written by Umit Hacioglu and published by Springer Nature. This book was released on 2021-06-14 with total page 450 pages. Available in PDF, EPUB and Kindle. Book excerpt: This book analyses and discusses current issues and trends in finance with a special focus on technological developments and innovations. The book presents an overview of the classical and traditional approaches of financial management in companies and discusses its key strategic role in corporate performance. Furthermore, the volume illustrates how the emerging technological innovations will shape the theory and practice of financial management, focusing especially on the decentralized financial ecosystems that blockchain and its related technologies allow.
Download or read book Monte Carlo and Quasi Monte Carlo Methods 1996 written by Harald Niederreiter and published by Springer Science & Business Media. This book was released on 2012-12-06 with total page 463 pages. Available in PDF, EPUB and Kindle. Book excerpt: Monte Carlo methods are numerical methods based on random sampling and quasi-Monte Carlo methods are their deterministic versions. This volume contains the refereed proceedings of the Second International Conference on Monte Carlo and Quasi-Monte Carlo Methods in Scientific Computing which was held at the University of Salzburg (Austria) from July 9--12, 1996. The conference was a forum for recent progress in the theory and the applications of these methods. The topics covered in this volume range from theoretical issues in Monte Carlo and simulation methods, low-discrepancy point sets and sequences, lattice rules, and pseudorandom number generation to applications such as numerical integration, numerical linear algebra, integral equations, binary search, global optimization, computational physics, mathematical finance, and computer graphics. These proceedings will be of interest to graduate students and researchers in Monte Carlo and quasi-Monte Carlo methods, to numerical analysts, and to practitioners of simulation methods.
Download or read book Valuation of Mortgage Backed Securities Using the Quasi Monte Carlo Method written by Russel E. Caflisch and published by . This book was released on 1996 with total page 25 pages. Available in PDF, EPUB and Kindle. Book excerpt:
Download or read book Monte Carlo Methods written by Roman Frey and published by . This book was released on 2009-10 with total page 136 pages. Available in PDF, EPUB and Kindle. Book excerpt: This paper provides an extensive treatment of the entire Monte Carlo simulation theory. Furthermore, the Monte Carlo technique is used for addressing the pricing of various interest rate derivatives in different term structure models by the simulation approach. With the rising complexity and diversity of upcoming derivative securities, analytically tractable or closed-form pricing methods are difficult to find or even inexistent. If the thoroughly popular lattice valuation approach additionally fails due to non-recombining characteristics, Monte Carlo simulation represents a powerful and flexible alternative pricing method. The goal of this paper is to discuss and implement the fundamentals of Monte Carlo methods and to introduce the wide use of this approach in finance, especially in interest rate derivative valuation. The paper is roughly divided into three parts. The first part focuses on random number generation and on increasing efficiency methods for Monte Carlo, such as variance reduction techniques or low-discrepancy sequences. In the following part different term structure models are developed and the link to the simulation theory is eventually established. In the third and final part some ordinary and extended Monte Carlo algorithms are implemented and corresponding simulations are run in order to analyze Bermudan swaption prices in detail. Even though Monte Carlo methods feature a relatively slow but given convergence rate, they remain a competitive tool in financial applications. They owe their rising popularity to a large extent to their flexibility and to recent progress in methods which improve their accuracy and precision in estimating quantities of interest. Moreover, some of the leading yield curve models are heavily relying on Monte Carlo techniques. Several extensions of the standard Monte Carlo approach, such as least-squares Monte Carlo, for instance, are able to overcome the early-exercise hurdle a.
Download or read book The Monte Carlo Approach to the Valuation of Mortgage backed Securities written by Fuchun Cai and published by . This book was released on 1990 with total page 196 pages. Available in PDF, EPUB and Kindle. Book excerpt:
Download or read book Handbook of Research Methods and Applications in Empirical Finance written by Adrian R. Bell and published by Edward Elgar Publishing. This book was released on 2013-01-01 with total page 494 pages. Available in PDF, EPUB and Kindle. Book excerpt: This impressive Handbook presents the quantitative techniques that are commonly employed in empirical finance research together with real-world, state-of-the-art research examples. Written by international experts in their field, the unique approach describes a question or issue in finance and then demonstrates the methodologies that may be used to solve it. All of the techniques described are used to address real problems rather than being presented for their own sake, and the areas of application have been carefully selected so that a broad range of methodological approaches can be covered. The Handbook is aimed primarily at doctoral researchers and academics who are engaged in conducting original empirical research in finance. In addition, the book will be useful to researchers in the financial markets and also advanced Masters-level students who are writing dissertations.
Download or read book Monte Carlo Methods in Finance written by Je Guk Kim and published by . This book was released on 2015 with total page 80 pages. Available in PDF, EPUB and Kindle. Book excerpt: Monte Carlo method has received significant consideration from the context of quantitative finance mainly due to its ease of implementation for complex problems in the field. Among topics of its application to finance, we address two topics: (1) optimal importance sampling for the Laplace transform of exponential Brownian functionals and (2) analysis on the convergence of quasi-regression method for pricing American option. In the first part of this dissertation, we present an asymptotically optimal importance sampling method for Monte Carlo simulation of the Laplace transform of exponential Brownian functionals via Large deviations principle and calculus of variations the closed form solutions of which induces an optimal measure for sampling. Some numerical tests are conducted through the Dothan bond pricing model, which shows the method achieves a significant variance reduction. Secondly, we study the convergence of a quasi-regression Monte Carlo method proposed by Glasserman and Yu (2004) that is a variant of least-squares method proposed by Longstaff and Schwartz (2001) for pricing American option. Glasserman and Yu (2004) showed that the method converges to an approximation to the true price of American option with critical relations between the number of paths simulated and the number of basis functions for two examples: Brownian motion and geometric Brownian motion. We show that the method surely converges to the true price of American option even under multiple underlying assets and prove a more promising critical relation between the number of basis functions and the number of simulations in the previous study holds. Finally, we propose a rate of convergence of the method.
Download or read book Financial Engineering and Computation written by Yuh-Dauh Lyuu and published by Cambridge University Press. This book was released on 2002 with total page 654 pages. Available in PDF, EPUB and Kindle. Book excerpt: A comprehensive text and reference, first published in 2002, on the theory of financial engineering with numerous algorithms for pricing, risk management, and portfolio management.
Download or read book Monte Carlo and Quasi Monte Carlo Methods written by Art B. Owen and published by Springer. This book was released on 2018-07-03 with total page 476 pages. Available in PDF, EPUB and Kindle. Book excerpt: This book presents the refereed proceedings of the Twelfth International Conference on Monte Carlo and Quasi-Monte Carlo Methods in Scientific Computing that was held at Stanford University (California) in August 2016. These biennial conferences are major events for Monte Carlo and quasi-Monte Carlo researchers. The proceedings include articles based on invited lectures as well as carefully selected contributed papers on all theoretical aspects and applications of Monte Carlo and quasi-Monte Carlo methods. Offering information on the latest developments in these very active areas, this book is an excellent reference resource for theoreticians and practitioners interested in solving high-dimensional computational problems, arising in particular, in finance, statistics, computer graphics and the solution of PDEs.
Download or read book Lectures on Monte Carlo Methods written by Neal Noah Madras and published by American Mathematical Soc.. This book was released on 2002 with total page 113 pages. Available in PDF, EPUB and Kindle. Book excerpt: Monte Carlo methods form an experimental branch of mathematics that employs simulations driven by random number generators. These methods are often used when others fail, since they are much less sensitive to the ``curse of dimensionality'', which plagues deterministic methods in problems with a large number of variables. Monte Carlo methods are used in many fields: mathematics, statistics, physics, chemistry, finance, computer science, and biology, for instance. This book is an introduction to Monte Carlo methods for anyone who would like to use these methods to study various kinds of mathematical models that arise in diverse areas of application. The book is based on lectures in a graduate course given by the author. It examines theoretical properties of Monte Carlo methods as well as practical issues concerning their computer implementation and statistical analysis. The only formal prerequisite is an undergraduate course in probability. The book is intended to be accessible to students from a wide range of scientific backgrounds. Rather than being a detailed treatise, it covers the key topics of Monte Carlo methods to the depth necessary for a researcher to design, implement, and analyze a full Monte Carlo study of a mathematical or scientific problem. The ideas are illustrated with diverse running examples. There are exercises sprinkled throughout the text. The topics covered include computer generation of random variables, techniques and examples for variance reduction of Monte Carlo estimates, Markov chain Monte Carlo, and statistical analysis of Monte Carlo output.
