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 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 Advances in Modeling and Simulation written by Zdravko Botev and published by Springer Nature. This book was released on 2022-11-30 with total page 426 pages. Available in PDF, EPUB and Kindle. Book excerpt: This book celebrates the career of Pierre L’Ecuyer on the occasion of his 70th birthday. Pierre has made significant contributions to the fields of simulation, modeling, and operations research over the last 40 years. This book contains 20 chapters written by collaborators and experts in the field who, by sharing their latest results, want to recognize the lasting impact of Pierre’s work in their research area. The breadth of the topics covered reflects the remarkable versatility of Pierre's contributions, from deep theoretical results to practical and industry-ready applications. The Festschrift features article from the domains of Monte Carlo and quasi-Monte Carlo methods, Markov chains, sampling and low discrepancy sequences, simulation, rare events, graphics, finance, machine learning, stochastic processes, and tractability.
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 Stochastic Optimization Methods in Finance and Energy written by Marida Bertocchi and published by Springer Science & Business Media. This book was released on 2011-09-15 with total page 480 pages. Available in PDF, EPUB and Kindle. Book excerpt: This volume presents a collection of contributions dedicated to applied problems in the financial and energy sectors that have been formulated and solved in a stochastic optimization framework. The invited authors represent a group of scientists and practitioners, who cooperated in recent years to facilitate the growing penetration of stochastic programming techniques in real-world applications, inducing a significant advance over a large spectrum of complex decision problems. After the recent widespread liberalization of the energy sector in Europe and the unprecedented growth of energy prices in international commodity markets, we have witnessed a significant convergence of strategic decision problems in the energy and financial sectors. This has often resulted in common open issues and has induced a remarkable effort by the industrial and scientific communities to facilitate the adoption of advanced analytical and decision tools. The main concerns of the financial community over the last decade have suddenly penetrated the energy sector inducing a remarkable scientific and practical effort to address previously unforeseeable management problems. Stochastic Optimization Methods in Finance and Energy: New Financial Products and Energy Markets Strategies aims to include in a unified framework for the first time an extensive set of contributions related to real-world applied problems in finance and energy, leading to a common methodological approach and in many cases having similar underlying economic and financial implications. Part 1 of the book presents 6 chapters related to financial applications; Part 2 presents 7 chapters on energy applications; and Part 3 presents 5 chapters devoted to specific theoretical and computational issues.
Download or read book An Introduction to Computational Finance written by mr U?ur and published by Imperial College Press. This book was released on 2009 with total page 315 pages. Available in PDF, EPUB and Kindle. Book excerpt: Although there are several publications on similar subjects, this book mainly focuses on pricing of options and bridges the gap between Mathematical Finance and Numerical Methodologies. The author collects the key contributions of several monographs and selected literature, values and displays their importance, and composes them here to create a work which has its own characteristics in content and style.This invaluable book provides working Matlab codes not only to implement the algorithms presented in the text, but also to help readers code their own pricing algorithms in their preferred programming languages. Availability of the codes under an Internet site is also offered by the author.Not only does this book serve as a textbook in related undergraduate or graduate courses, but it can also be used by those who wish to implement or learn pricing algorithms by themselves. The basic methods of option pricing are presented in a self-contained and unified manner, and will hopefully help readers improve their mathematical and computational backgrounds for more advanced topics.Errata(s)Errata
Download or read book Monte Carlo and Quasi Monte Carlo Methods written by Bruno Tuffin and published by Springer Nature. This book was released on 2020-05-01 with total page 533 pages. Available in PDF, EPUB and Kindle. Book excerpt: This book presents the refereed proceedings of the 13th International Conference on Monte Carlo and Quasi-Monte Carlo Methods in Scientific Computing that was held at the University of Rennes, France, and organized by Inria, in July 2018. 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 and computer graphics.
Download or read book Monte Carlo and Quasi Monte Carlo Methods 2012 written by Josef Dick and published by Springer Science & Business Media. This book was released on 2013-12-05 with total page 680 pages. Available in PDF, EPUB and Kindle. Book excerpt: This book represents the refereed proceedings of the Tenth International Conference on Monte Carlo and Quasi-Monte Carlo Methods in Scientific Computing that was held at the University of New South Wales (Australia) in February 2012. These biennial conferences are major events for Monte Carlo and the premiere event for quasi-Monte Carlo research. 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. The reader will be provided with information on latest developments in these very active areas. The book is an excellent reference for theoreticians and practitioners interested in solving high-dimensional computational problems arising, in particular, in finance, statistics and computer graphics.
Download or read book Handbook of Monte Carlo Methods written by Dirk P. Kroese and published by John Wiley & Sons. This book was released on 2013-06-06 with total page 627 pages. Available in PDF, EPUB and Kindle. Book excerpt: A comprehensive overview of Monte Carlo simulation that explores the latest topics, techniques, and real-world applications More and more of today’s numerical problems found in engineering and finance are solved through Monte Carlo methods. The heightened popularity of these methods and their continuing development makes it important for researchers to have a comprehensive understanding of the Monte Carlo approach. Handbook of Monte Carlo Methods provides the theory, algorithms, and applications that helps provide a thorough understanding of the emerging dynamics of this rapidly-growing field. The authors begin with a discussion of fundamentals such as how to generate random numbers on a computer. Subsequent chapters discuss key Monte Carlo topics and methods, including: Random variable and stochastic process generation Markov chain Monte Carlo, featuring key algorithms such as the Metropolis-Hastings method, the Gibbs sampler, and hit-and-run Discrete-event simulation Techniques for the statistical analysis of simulation data including the delta method, steady-state estimation, and kernel density estimation Variance reduction, including importance sampling, latin hypercube sampling, and conditional Monte Carlo Estimation of derivatives and sensitivity analysis Advanced topics including cross-entropy, rare events, kernel density estimation, quasi Monte Carlo, particle systems, and randomized optimization The presented theoretical concepts are illustrated with worked examples that use MATLAB®, a related Web site houses the MATLAB® code, allowing readers to work hands-on with the material and also features the author's own lecture notes on Monte Carlo methods. Detailed appendices provide background material on probability theory, stochastic processes, and mathematical statistics as well as the key optimization concepts and techniques that are relevant to Monte Carlo simulation. Handbook of Monte Carlo Methods is an excellent reference for applied statisticians and practitioners working in the fields of engineering and finance who use or would like to learn how to use Monte Carlo in their research. It is also a suitable supplement for courses on Monte Carlo methods and computational statistics at the upper-undergraduate and graduate levels.
Download or read book Monte Carlo and Quasi Monte Carlo Methods 2008 written by Pierre L' Ecuyer and published by Springer Science & Business Media. This book was released on 2010-01-14 with total page 669 pages. Available in PDF, EPUB and Kindle. Book excerpt: This book represents the refereed proceedings of the Eighth International Conference on Monte Carlo (MC)and Quasi-Monte Carlo (QMC) Methods in Scientific Computing, held in Montreal (Canada) in July 2008. It covers the latest theoretical developments as well as important applications of these methods in different areas. It contains two tutorials, eight invited articles, and 32 carefully selected articles based on the 135 contributed presentations made at the conference. This conference is a major event in Monte Carlo methods and is the premiere event for quasi-Monte Carlo and its combination with Monte Carlo. This series of proceedings volumes is the primary outlet for quasi-Monte Carlo research.
Download or read book ACRN Proceedings in Finance and Risk Series 13 written by Dr. Othmar M. Lehner and published by ACRN Publishing House. This book was released on 2014-03-06 with total page 575 pages. Available in PDF, EPUB and Kindle. Book excerpt: Proceedings of the 14th FRAP Finance, Risk and Accounting Perspectives conference taking place in Cambridge UK.
Download or read book A Benchmark Approach to Quantitative Finance written by Eckhard Platen and published by Springer Science & Business Media. This book was released on 2006-10-28 with total page 704 pages. Available in PDF, EPUB and Kindle. Book excerpt: A framework for financial market modeling, the benchmark approach extends beyond standard risk neutral pricing theory. It permits a unified treatment of portfolio optimization, derivative pricing, integrated risk management and insurance risk modeling. This book presents the necessary mathematical tools, followed by a thorough introduction to financial modeling under the benchmark approach, explaining various quantitative methods for the fair pricing and hedging of derivatives.
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 2000 written by Kai-Tai Fang and published by Springer Science & Business Media. This book was released on 2011-06-28 with total page 570 pages. Available in PDF, EPUB and Kindle. Book excerpt: This book represents the refereed proceedings of the Fourth International Conference on Monte Carlo and Quasi-Monte Carlo Methods in Scientific Computing which was held at Hong Kong Baptist University in 2000. 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 field.
Download or read book Sparse Grid Quadrature in High Dimensions with Applications in Finance and Insurance written by Markus Holtz and published by Springer Science & Business Media. This book was released on 2010-10-22 with total page 194 pages. Available in PDF, EPUB and Kindle. Book excerpt: This book deals with the numerical analysis and efficient numerical treatment of high-dimensional integrals using sparse grids and other dimension-wise integration techniques with applications to finance and insurance. The book focuses on providing insights into the interplay between coordinate transformations, effective dimensions and the convergence behaviour of sparse grid methods. The techniques, derivations and algorithms are illustrated by many examples, figures and code segments. Numerical experiments with applications from finance and insurance show that the approaches presented in this book can be faster and more accurate than (quasi-) Monte Carlo methods, even for integrands with hundreds of dimensions.
Download or read book Encyclopedia of Financial Models written by Frank J. Fabozzi and published by John Wiley & Sons. This book was released on 2012-10-15 with total page 3180 pages. Available in PDF, EPUB and Kindle. Book excerpt: An essential reference dedicated to a wide array of financial models, issues in financial modeling, and mathematical and statistical tools for financial modeling The need for serious coverage of financial modeling has never been greater, especially with the size, diversity, and efficiency of modern capital markets. With this in mind, the Encyclopedia of Financial Models, 3 Volume Set has been created to help a broad spectrum of individuals—ranging from finance professionals to academics and students—understand financial modeling and make use of the various models currently available. Incorporating timely research and in-depth analysis, the Encyclopedia of Financial Models is an informative 3-Volume Set that covers both established and cutting-edge models and discusses their real-world applications. Edited by Frank Fabozzi, this set includes contributions from global financial experts as well as academics with extensive consulting experience in this field. Organized alphabetically by category, this reliable resource consists of three separate volumes and 127 entries—touching on everything from asset pricing and bond valuation models to trading cost models and volatility—and provides readers with a balanced understanding of today's dynamic world of financial modeling. Frank Fabozzi follows up his successful Handbook of Finance with another major reference work, The Encyclopedia of Financial Models Covers the two major topical areas: asset valuation for cash and derivative instruments, and portfolio modeling Fabozzi explores the critical background tools from mathematics, probability theory, statistics, and operations research needed to understand these complex models Organized alphabetically by category, this book gives readers easy and quick access to specific topics sorted by an applicable category among them Asset Allocation, Credit Risk Modeling, Statistical Tools 3 Volumes onlinelibrary.wiley.com Financial models have become increasingly commonplace, as well as complex. They are essential in a wide range of financial endeavors, and this 3-Volume Set will help put them in perspective.
