Download or read book Methodes de monte carlo et suites a discrepance faible appliquees au calcul d options en finance written by Frédéric Ksas and published by . This book was released on 2000 with total page 0 pages. Available in PDF, EPUB and Kindle. Book excerpt:
Download or read book M thodes de Monte Carlo et suites discr pance faible appliqu es au calcul d options en finance written by Frédéric Ksas and published by . This book was released on 2000 with total page 236 pages. Available in PDF, EPUB and Kindle. Book excerpt: Cette thèse contient deux parties : la première partie traite des méthodes numériques et la seconde étudie leurs applications en finance. Les premiers chapitres sont consacrés à une description des méthodes de Monte-Carlo, quasi Monte-Carlo et hybrides. Nous donnons une estimation de la variation d'une fonction et des techniques susceptibles de la réduire. Nous donnons aussi une estimation de la discrépance étendue des suites unidimensionnellles, en particulier celles dont les termes sont une somme de composantes d'une suite multidimensionnelle à discrépance faible. Puis, les derniers chapitres s'intéressent à l'évaluation et la couverture des options avec un ou plusieurs actifs risqués, comme un call européen dans un modèle de marché complet avec sauts, un call asiatique dans un modèle de marché incomplet avec sauts ou un call sur panier dans un modèle multidimensionnel de Black-Scholes. Nous obtenons de nombreux résultats numériques et prouvons que certaines fonctions issues de la finance ne sont pas à variable finie
Download or read book Les m thodes de Monte Carlo written by Walid Ben Moussa and published by . This book was released on 2003 with total page 228 pages. Available in PDF, EPUB and Kindle. Book excerpt:
Download or read book Handbook in Monte Carlo Simulation written by Paolo Brandimarte and published by John Wiley & Sons. This book was released on 2014-06-20 with total page 620 pages. Available in PDF, EPUB and Kindle. Book excerpt: An accessible treatment of Monte Carlo methods, techniques, and applications in the field of finance and economics Providing readers with an in-depth and comprehensive guide, the Handbook in Monte Carlo Simulation: Applications in Financial Engineering, Risk Management, and Economics presents a timely account of the applicationsof Monte Carlo methods in financial engineering and economics. Written by an international leading expert in thefield, the handbook illustrates the challenges confronting present-day financial practitioners and provides various applicationsof Monte Carlo techniques to answer these issues. The book is organized into five parts: introduction andmotivation; input analysis, modeling, and estimation; random variate and sample path generation; output analysisand variance reduction; and applications ranging from option pricing and risk management to optimization. The Handbook in Monte Carlo Simulation features: An introductory section for basic material on stochastic modeling and estimation aimed at readers who may need a summary or review of the essentials Carefully crafted examples in order to spot potential pitfalls and drawbacks of each approach An accessible treatment of advanced topics such as low-discrepancy sequences, stochastic optimization, dynamic programming, risk measures, and Markov chain Monte Carlo methods Numerous pieces of R code used to illustrate fundamental ideas in concrete terms and encourage experimentation The Handbook in Monte Carlo Simulation: Applications in Financial Engineering, Risk Management, and Economics is a complete reference for practitioners in the fields of finance, business, applied statistics, econometrics, and engineering, as well as a supplement for MBA and graduate-level courses on Monte Carlo methods and simulation.
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 and Quasi Monte Carlo Methods 2002 written by Harald Niederreiter and published by Springer Science & Business Media. This book was released on 2011-06-28 with total page 462 pages. Available in PDF, EPUB and Kindle. Book excerpt: This book represents the refereed proceedings of the Fifth International Conference on Monte Carlo and Quasi-Monte Carlo Methods in Scientific Computing which was held at the National University of Singapore in the year 2002. An important feature are invited surveys of the state of the art in key areas such as multidimensional numerical integration, low-discrepancy point sets, computational complexity, finance, and other applications of Monte Carlo and quasi-Monte Carlo methods. These proceedings also include carefully selected contributed papers on all aspects of Monte Carlo and quasi-Monte Carlo methods. The reader will be informed about current research in this very active area.
Download or read book Applications of Monte Carlo Methods to Finance and Insurance written by Thomas N. Herzog and published by ACTEX Publications. This book was released on 2002 with total page 276 pages. Available in PDF, EPUB and Kindle. Book excerpt:
Download or read book Contributions to the Theory of Monte Carlo and Quasi Monte Carlo Methods written by Giray Okten and published by Universal-Publishers. This book was released on 1999 with total page 91 pages. Available in PDF, EPUB and Kindle. Book excerpt: Quasi-Monte Carlo methods, which are often described as deterministic versions of Monte Carlo methods, were introduced in the 1950s by number theoreticians. They improve several deficiencies of Monte Carlo methods; such as providing estimates with deterministic bounds and avoiding the paradoxical difficulty of generating random numbers in a computer. However, they have their own drawbacks. First, although they provide faster convergence than Monte Carlo methods asymptotically, the advantage may not be practical to obtain in "high" dimensional problems. Second, there is not a practical way to measure the error of a quasi-Monte Carlo simulation. Finally, unlike Monte Carlo methods, there is a scarcity of error reduction techniques for these methods. In this dissertation, we attempt to provide remedies for the disadvantages of quasi-Monte Carlo methods mentioned above. In the first part of the dissertation, a hybrid-Monte Carlo sequence designed to obtain error reduction in high dimensions is studied. Probabilistic results on the discrepancy of this sequence as well as results obtained by applying the sequence to problems from numerical integration and mathematical finance are presented. In the second part of the dissertation, a new hybrid-Monte Carlo method is introduced, in an attempt to obtain a practical statistical error analysis using low-discrepancy sequences. It is applied to problems from mathematical finance and particle transport theory to compare its effectiveness with the conventional methods. In the last part of the dissertation, a generalized quasi-Monte Carlo integration rule is introduced. A Koksma-Hlawka type inequality for the rule is proved, using a new concept for the variation of a function. As a consequence of the rule, error reduction techniques and in particular an "importance sampling" type statement are derived. Problems from different disciplines are used as practical tests for our methods. The numerical results obtained in favor of the methods suggest the practical advantages that can be realized by their use in a wide variety of applications.
Download or read book Monte Carlo Simulation with Applications to Finance written by Hui Wang and published by CRC Press. This book was released on 2012-05-22 with total page 291 pages. Available in PDF, EPUB and Kindle. Book excerpt: Developed from the author's course on Monte Carlo simulation at Brown University, this text provides a self-contained introduction to Monte Carlo methods in financial engineering. It covers common variance reduction techniques, the cross-entropy method, and the simulation of diffusion process models. Requiring minimal background in mathematics and finance, the book includes numerous examples of option pricing, risk analysis, and sensitivity analysis as well as many hand-and-paper and MATLAB coding exercises at the end of every chapter.
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 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 M thodes de Monte Carlo pour les quations de transport et de diffusion written by Bernard Lapeyre and published by Springer. This book was released on 1997-10-31 with total page 178 pages. Available in PDF, EPUB and Kindle. Book excerpt: Le but de ce livre est de donner une introduction aux méthodes de Monte-Carlo orientée vers la résolution des équations aux dérivées partielles. Après des rappels sur les techniques de simulation, de réduction de variance et de suites à discrepance faible, les auteurs traitent en détail le cas des équations de transport, de l'équation de Boltzmann et des équations paraboliques de diffusion. Dans chaque cas ils introduisent les processus aléatoires associées et discutent les techniques d'implémentation.
Download or read book Quasi Monte Carlo Methods in Finance with Application to Optimal Asset Allocation written by Mario Rometsch and published by diplom.de. This book was released on 2014-04-11 with total page 143 pages. Available in PDF, EPUB and Kindle. Book excerpt: Inhaltsangabe:Introduction: Portfolio optimization is a widely studied problem in finance. The common question is, how a small investor should invest his wealth in the market to attain certain goals, like a desired payoff or some insurance against unwished events. The starting point for the mathematical treatment of this is the work of Harry Markowitz in the 1950s. His idea was to set up a relation between the mean return of a portfolio and its variance. In his terminology, an efficient portfolio has minimal variance of return among others with the same mean rate of return. Furthermore, if linear combinations of efficient portfolios and a riskless asset are allowed, this leads to the market portfolio, so that a linear combination of the risk-free asset and the market portfolio dominates any other portfolio in the mean-variance sense. Later, this theory was extended resulting in the CAPM, or capital asset pricing model, which was independently introduced by Treynor, Sharpe, Lintner and Mossin in the 1960s. In this model, every risky asset has a mean rate of return that exceeds the risk-free rate by a specific risk premium, which depends on a certain attribute of the asset, namely its _. The so-called _ in turn is the covariance of the asset return normalized by the variance of the market portfolio. The problem of the CAPM is its static nature, investments are made once and then the state of the model changes. Due to this and other simplifications, this model was and is often not found to be realistic. An impact to this research field were the two papers of Robert Merton in 1969 and 1971. He applied the theory of Ito calculus and stochastic optimal control and solved the corresponding Hamilton-Jacobi-Bellman equation. For his multiperiod model, he assumed constant coefficients and an investor with power utility. Extending the mean-variance analysis, he found that a long-term investor would prefer a portfolio that includes hedging components to protect against fluctuations in the market. Again this approach was generalized by numerous researchers and results in the problem of solving a nonlinear partial differential equation. The next milestone in this series is the work by Cox and Huang from 1989, where they solve for Optimal Consumption and Portfolio Policies when Asset Prices Follow a Diffusion Process . They apply the martingale technique to get rid of the nonlinear PDE and rather solve a linear PDE. This, with several refinements, is [...]
Download or read book Monte Carlo and Quasi Monte Carlo Methods 2006 written by Alexander Keller and published by Springer Science & Business Media. This book was released on 2007-12-30 with total page 684 pages. Available in PDF, EPUB and Kindle. Book excerpt: This book presents the refereed proceedings of the Seventh International Conference on Monte Carlo and Quasi-Monte Carlo Methods in Scientific Computing, held in Ulm, Germany, in August 2006. The proceedings include carefully selected papers on many aspects of Monte Carlo and quasi-Monte Carlo methods and their applications. They also provide information on current research in these very active areas.
Download or read book SIMULATION ACCELEREE PAR LES METHODES DE MONTE CARLO ET QUASI MONTE CARLO written by BRUNO.. TUFFIN and published by . This book was released on 1997 with total page 175 pages. Available in PDF, EPUB and Kindle. Book excerpt: DANS CETTE THESE NOUS ETUDIONS ET APPLIQUONS LES METHODES DE MONTE CARLO ET QUASI-MONTE CARLO. NOUS NOUS INTERESSONS PREMIEREMENT A LA THEORIE. LES METHODES DE QUASI-MONTE CARLO SONT BASEES SUR DEUX NOTIONS : LA VARIATION ET LA DISCREPANCE. COMME PREMIERE CONTRIBUTION, NOUS AMELIORONS LA REPARTITION D'UNE FAMILLE IMPORTANTE DE SUITES A DISCREPANCE FAIBLE, LES SUITES DE HALTON. NOUS REALISONS ENSUITE UNE TECHNIQUE ANALOGUE A LA REDUCTION DE LA VARIANCE DANS LES METHODES DE MONTE CARLO, LA REDUCTION DE LA VARIATION. LA BORNE DE L'ERREUR N'ETANT QUE RAREMENT UTILISABLE EN PRATIQUE, NOUS PROPOSONS UNE APPROCHE POUR L'UTILISATION DES SUITES A DISCREPANCE FAIBLE COMME TECHNIQUE DE REDUCTION DE LA VARIANCE DANS LES METHODES DE MONTE CARLO. NOUS ANALYSONS L'EFFICACITE DE CETTE REDUCTION ET COMPARONS LES DIFFERENTES SUITES AFIN DE CHOISIR LA MIEUX ADAPTEE. LA DEUXIEME PARTIE DE LA THESE EST CONSACREE A DES APPLICATIONS CONCRETES ET EFFICACES DE CES METHODES. NOUS CONSIDERONS D'ABORD LES RESEAUX DE FILES D'ATTENTE MULTI-CLASSES A FORME PRODUIT ET AMELIORONS LEUR SIMULATION PAR DEUX TECHNIQUES DIFFERENTES DE REDUCTION DE LA VARIANCE : LES VARIABLES ANTAGONISTES ET LES SUITES A DISCREPANCE FAIBLE. CETTE DERNIERE METHODE EST ENSUITE APPLIQUEE A LA SIMULATION D'UN SYSTEME CELLULAIRE AVEC PARTAGE DYNAMIQUE DES RESSOURCES. FINALEMENT, NOUS ETUDIONS LA SIMULATION DES SYSTEMES MARKOVIENS HAUTEMENT FIABLES ET APPROFONDISSONS LES METHODES EXISTANTES. NOUS INTRODUISONS UN NOUVEAU CONCEPT, L'APPROXIMATION NORMALE BORNEE, QUI PERMET D'OBTENIR UNE APPROXIMATION DE LA LOI NORMALE SATISFAISANTE DANS LE THEOREME DE LA LIMITE CENTRALE, QUELLE QUE SOIT LA FIABILITE DU SYSTEME ETUDIE, ET DONNONS UNE CONDITION NECESSAIRE ET SUFFISANTE SUR LA MESURE D'ECHANTILLONNAGE PREFERENTIEL POUR OBTENIR CETTE PROPRIETE.
Download or read book Monte Carlo and Quasi Monte Carlo Methods 2004 written by Harald Niederreiter and published by Springer Science & Business Media. This book was released on 2006-02-08 with total page 506 pages. Available in PDF, EPUB and Kindle. Book excerpt: This book represents the refereed proceedings of the Sixth International Conference on Monte Carlo and Quasi-Monte Carlo Methods in Scientific Computing and of the Second International Conference on Monte Carlo and Probabilistic Methods for Partial Differential Equations. These conferences were held jointly at Juan-les-Pins (France) in June 2004. The proceedings include carefully selected papers on many aspects of Monte Carlo methods, quasi-Monte Carlo methods, and the numerical solution of partial differential equations. The reader will be informed about current research in these very active areas.
Download or read book Monte Carlo and Quasi Monte Carlo Methods 1998 written by Harald Niederreiter and published by Springer. This book was released on 2000 with total page 490 pages. Available in PDF, EPUB and Kindle. Book excerpt: This book represents the refereed proceedings of the Third International Conference on Monte Carlo and Quasi-Monte Carlo Methods in Scientific Computing which was held at Claremont Graduate University in 1998. An important feature are invited surveys of the state of the art in key areas such as multidimensional numerical integration, low-discrepancy point sets, random number generation, and applications of Monte Carlo and quasi-Monte Carlo methods. These proceedings include also carefully selected contributed papers on all aspects of Monte Carlo and quasi-Monte Carlo methods. The reader will be informed about current research in this very active area.
