Monte Carlo Methods in Financial Engineering

Author: Paul Glasserman
Publisher: Springer Science & Business Media
ISBN: 0387004513
Release Date: 2004
Genre: Business & Economics

The next part describes techniques for improving simulation accuracy and efficiency. The final third of the book addresses special topics: estimating price sensitivities, valuing American options, and measuring market risk and credit risk in financial portfolios."

Affine Diffusions and Related Processes Simulation Theory and Applications

Author: Aurélien Alfonsi
Publisher: Springer
ISBN: 9783319052212
Release Date: 2015-04-30
Genre: Mathematics

This book gives an overview of affine diffusions, from Ornstein-Uhlenbeck processes to Wishart processes and it considers some related diffusions such as Wright-Fisher processes. It focuses on different simulation schemes for these processes, especially second-order schemes for the weak error. It also presents some models, mostly in the field of finance, where these methods are relevant and provides some numerical experiments. The book explains the mathematical background to understand affine diffusions and analyze the accuracy of the schemes.

A Theoretical Introduction to Numerical Analysis

Author: Victor S. Ryaben'kii
Publisher: CRC Press
ISBN: 9781420011166
Release Date: 2006-11-02
Genre: Mathematics

A Theoretical Introduction to Numerical Analysis presents the general methodology and principles of numerical analysis, illustrating these concepts using numerical methods from real analysis, linear algebra, and differential equations. The book focuses on how to efficiently represent mathematical models for computer-based study. An accessible yet rigorous mathematical introduction, this book provides a pedagogical account of the fundamentals of numerical analysis. The authors thoroughly explain basic concepts, such as discretization, error, efficiency, complexity, numerical stability, consistency, and convergence. The text also addresses more complex topics like intrinsic error limits and the effect of smoothness on the accuracy of approximation in the context of Chebyshev interpolation, Gaussian quadratures, and spectral methods for differential equations. Another advanced subject discussed, the method of difference potentials, employs discrete analogues of Calderon’s potentials and boundary projection operators. The authors often delineate various techniques through exercises that require further theoretical study or computer implementation. By lucidly presenting the central mathematical concepts of numerical methods, A Theoretical Introduction to Numerical Analysis provides a foundational link to more specialized computational work in fluid dynamics, acoustics, and electromagnetism.

Monte Carlo and Quasi Monte Carlo Methods

Author: Ronald Cools
Publisher: Springer
ISBN: 9783319335070
Release Date: 2016-06-13
Genre: Mathematics

This book presents the refereed proceedings of the Eleventh International Conference on Monte Carlo and Quasi-Monte Carlo Methods in Scientific Computing that was held at the University of Leuven (Belgium) in April 2014. 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.

Evaluating Gas Network Capacities

Author: Thorsten Koch
Publisher: SIAM
ISBN: 9781611973686
Release Date: 2015-03-17
Genre: Mathematics

"This book deals with a simple sounding question whether a certain amount of gas can be transported by a given pipeline network. While well studied for a single pipeline, this question gets extremely difficult if we consider a meshed nation wide gas transportation network, taking into account all the technical details and discrete decisions, as well as regulations, contracts, and varying demand. This book describes several mathematical models to answer these questions, discusses their merits and disadvantages, explains the necessary technical and regulatory background, and shows how to solve this question using sophisticated mathematical optimization algorithms."--

Verlustausgleich in der Common Consolidated Corporate Tax Base

Author: Marcus Ager
Publisher: Springer-Verlag
ISBN: 9783658174996
Release Date: 2017-02-17
Genre: Business & Economics

Marcus Ager zeigt aus kapitalmarkorientierter Sicht, inwieweit der Richtlinienvorschlag der Europäischen Kommission über eine gemeinsame konsolidierte Körperschaftsteuer-Bemessungsgrundlage (CCCTB) mit der Möglichkeit zum unionsweiten grenzüberschreitenden Ausgleich steuerlicher Gewinne und Verluste in Unternehmensgruppen einen Rückgang der Steuerbelastung europäischer Konzerne bedeutet und dass die Umsetzung des Richtlinienvorschlags zur CCCTB zu einer Reduktion wohlfahrtsmindernder steuerlich bedingter Verzerrungen von Investitionsentscheidungen führen würde. Er untersucht, welche Faktoren Einfluss auf die Wirkungsweise der CCCTB ausüben und zeigt, dass für europäische Konzerne – insbesondere über die Gestaltung interner Steuerumlagevereinbarungen – durchaus Möglichkeiten bestehen, auf die Wirkungsweise der vorgeschlagenen Neuregelungen aktiv Einfluss zu nehmen.

Pricing Metal Futures The Two Regime Pricing Model revisited

Author: Matthias Lassak
Publisher: Diplomica Verlag
ISBN: 9783961465828
Release Date: 2017-11
Genre: Business & Economics

The Two-Regime-Pricing (TRP) model developed by Bühler, Korn and Schöbel (2004) is an important bridge between two strands of the literature of commodity futures pricing. It incorporates both the notion of a “convenience yield” and the idea of pricing based on the underlying spot price process. This work uses the TRP model and applies the findings to the pricing of industrial metal futures. In detail, the purpose of this study is to price a variety of futures contracts written on the traded industrial metals Aluminium, Aluminium Alloy, Copper, Lead, Nickel, Tin and Zinc using the TRP model and to analyze ist strengths and weaknesses in doing so. Given the spot price specification, a bootstrap maximum likelihood estimation is performed to determine the model parameters. Given the estimation results, the out-of-sample performance of the TRP model is compared to two benchmark models in the literature. In addition, the behavior of the theoretical futures prices is matched to metal futures properties observed in the market. By outlining the statistical challenges in estimation and forecasting in much detail, this work is valuable for researchers and academics in the field of derivatives pricing.

Applied Diffusion Processes from Engineering to Finance

Author: Jacques Janssen
Publisher: John Wiley & Sons
ISBN: 9781118578346
Release Date: 2013-04-08
Genre: Mathematics

The aim of this book is to promote interaction between engineering, finance and insurance, as these three domains have many models and methods of solution in common for solving real-life problems. The authors point out the strict inter-relations that exist among the diffusion models used in engineering, finance and insurance. In each of the three fields, the basic diffusion models are presented and their strong similarities are discussed. Analytical, numerical and Monte Carlo simulation methods are explained with a view to applying them to obtain the solutions to the different problems presented in the book. Advanced topics such as nonlinear problems, Lévy processes and semi-Markov models in interactions with the diffusion models are discussed, as well as possible future interactions among engineering, finance and insurance. Contents 1. Diffusion Phenomena and Models. 2. Probabilistic Models of Diffusion Processes. 3. Solving Partial Differential Equations of Second Order. 4. Problems in Finance. 5. Basic PDE in Finance. 6. Exotic and American Options Pricing Theory. 7. Hitting Times for Diffusion Processes and Stochastic Models in Insurance. 8. Numerical Methods. 9. Advanced Topics in Engineering: Nonlinear Models. 10. Lévy Processes. 11. Advanced Topics in Insurance: Copula Models and VaR Techniques. 12. Advanced Topics in Finance: Semi-Markov Models. 13. Monte Carlo Semi-Markov Simulation Methods. About the Authors Jacques Janssen is now Honorary Professor at the Solvay Business School (ULB) in Brussels, Belgium, having previously taught at EURIA (Euro-Institut d’Actuariat, University of West Brittany, Brest, France) and Télécom-Bretagne (Brest, France) as well as being a director of Jacan Insurance and Finance Services, a consultancy and training company. Oronzio Manca is Professor of thermal sciences at Seconda Università degli Studi di Napoli in Italy. He is currently Associate Editor of ASME Journal of Heat Transfer and Journal of Porous Media and a member of the editorial advisory boards for The Open Thermodynamics Journal, Advances in Mechanical Engineering, The Open Fuels & Energy Science Journal. Raimondo Manca is Professor of mathematical methods applied to economics, finance and actuarial science at University of Rome “La Sapienza” in Italy. He is associate editor for the journal Methodology and Computing in Applied Probability. His main research interests are multidimensional linear algebra, computational probability, application of stochastic processes to economics, finance and insurance and simulation models.

Explorations in Monte Carlo Methods

Author: Ronald W. Shonkwiler
Publisher: Springer Science & Business Media
ISBN: 9780387878362
Release Date: 2009-08-21
Genre: Mathematics

Monte Carlo methods are among the most used and useful computational tools available today, providing efficient and practical algorithims to solve a wide range of scientific and engineering problems. Applications covered in this book include optimization, finance, statistical mechanics, birth and death processes, and gambling systems. Explorations in Monte Carlo Methods provides a hands-on approach to learning this subject. Each new idea is carefully motivated by a realistic problem, thus leading from questions to theory via examples and numerical simulations. Programming exercises are integrated throughout the text as the primary vehicle for learning the material. Each chapter ends with a large collection of problems illustrating and directing the material. This book is suitable as a textbook for students of engineering and the sciences, as well as mathematics.

Implementing Models in Quantitative Finance Methods and Cases

Author: Gianluca Fusai
Publisher: Springer Science & Business Media
ISBN: 3540499598
Release Date: 2007-12-20
Genre: Business & Economics

This book puts numerical methods in action for the purpose of solving practical problems in quantitative finance. The first part develops a toolkit in numerical methods for finance. The second part proposes twenty self-contained cases covering model simulation, asset pricing and hedging, risk management, statistical estimation and model calibration. Each case develops a detailed solution to a concrete problem arising in applied financial management and guides the user towards a computer implementation. The appendices contain "crash courses" in VBA and Matlab programming languages.

Research Methods for Postgraduates

Author: Tony Greenfield
Publisher: John Wiley & Sons
ISBN: 9781118341469
Release Date: 2016-10-17
Genre: Mathematics

guidance in all subject areas Editor:Tony Greenfield, Industrial Statistics Research Unit (ISRU), University of Newcastle-upon-Tyne, UK Research Methods for Postgraduates brings together guidance for postgraduate students on how to organise, plan and do research from an interdisciplinary perspective. In this new edition, the already wide-ranging coverage is enhanced by the addition of new chapters on social media, evaluating the research process, Kansei engineering and medical research reporting. The extensive updates also provide the latest guidance on issues relevant to postgraduates in all subject areas, from writing a proposal and securing research funds, to data analysis and the presentation of research, through to intellectual property protection and career opportunities. This thoroughly revised new edition provides: Clear and concise advice from distinguished international researchers on how to plan, organise and conduct research. New chapters explore social media in research, evaluate the research process, Kansei engineering and discuss the reporting of medical research. Check lists and diagrams throughout. Praise for the second edition: “... the most useful book any new postgraduate could ever buy.” (New Scientist) “The book certainly merits its acceptance as essential reading for postgraduates and will be valuable to anyone associated in any way with research or with presentation of technical or scientific information of any kind.”(Robotica) Like its predecessors, the third edition of Research Methods for Postgraduates is accessible and comprehensive, and is a must-read for any postgraduate student.

Complex Stochastic Systems

Author: O.E. Barndorff-Nielsen
Publisher: CRC Press
ISBN: 1420035983
Release Date: 2000-08-09
Genre: Mathematics

Complex stochastic systems comprises a vast area of research, from modelling specific applications to model fitting, estimation procedures, and computing issues. The exponential growth in computing power over the last two decades has revolutionized statistical analysis and led to rapid developments and great progress in this emerging field. In Complex Stochastic Systems, leading researchers address various statistical aspects of the field, illustrated by some very concrete applications. A Primer on Markov Chain Monte Carlo by Peter J. Green provides a wide-ranging mixture of the mathematical and statistical ideas, enriched with concrete examples and more than 100 references. Causal Inference from Graphical Models by Steffen L. Lauritzen explores causal concepts in connection with modelling complex stochastic systems, with focus on the effect of interventions in a given system. State Space and Hidden Markov Models by Hans R. Künschshows the variety of applications of this concept to time series in engineering, biology, finance, and geophysics. Monte Carlo Methods on Genetic Structures by Elizabeth A. Thompson investigates special complex systems and gives a concise introduction to the relevant biological methodology. Renormalization of Interacting Diffusions by Frank den Hollander presents recent results on the large space-time behavior of infinite systems of interacting diffusions. Stein's Method for Epidemic Processes by Gesine Reinert investigates the mean field behavior of a general stochastic epidemic with explicit bounds. Individually, these articles provide authoritative, tutorial-style exposition and recent results from various subjects related to complex stochastic systems. Collectively, they link these separate areas of study to form the first comprehensive overview of this rapidly developing field.

A Study of Business Decisions Under Uncertainty

Author: Andreas Stark
Publisher: Universal-Publishers
ISBN: 9781599423494
Release Date: 2010-07
Genre: Business & Economics

This dissertation will discuss the uncertainty encountered in the daily operations of businesses. The concepts will be developed by first giving an overview of probability and statistics as used in our everyday activities, such as the basic principles of probability, univariate and multivariate statistics, data clustering and mapping, as well as time sequence and spectral analysis. The examples used will be from the oil and gas exploration industry because the risks taken in this industry are normally quite large and are ideal for showing the application of the various techniques for minimizing risk. Subsequently, the discussion will deal with basic risk analysis, spatial and time variations of risk, geotechnical risk analysis, risk aversion and how it is affected by personal biases, and how to use portfolios to hedge risk together with the application of real options. Next, fractal analysis and its application to economics and risk analysis will be examined, followed by some examples showing the change in the Value at Risk under Fractal Brownian Motions. Finally, a neural network application is shown whereby some of these risks and risk factors will be combined to forecast the best possible outcome given a certain knowledge base. The chapters will discuss: Basic probability techniques and uncertainty principles Analysis and diversification for exploration projects The value and risk of information in the decision process Simulation techniques and modeling of uncertainty Project valuation and project risk return Modeling risk propensity or preference analysis of exploration projects Application of fractals to risk analysis Simultaneous prediction of strategic risk and decision attributes using multivariate statistics and neural networks"

Monte Carlo Strategies in Scientific Computing

Author: Jun S. Liu
Publisher: Springer Science & Business Media
ISBN: 0387952306
Release Date: 2001-01-01
Genre: Business & Economics

A large number of scientists and engineers employ Monte Carlo simulation and related global optimization techniques (such as simulated annealing) as an essential tool in their work. For such scientists, there is a need to keep up to date with several recent advances in Monte Carlo methodologies such as cluster methods, data-augmentation, simulated tempering and other auxiliary variable methods. There is also a trend in moving towards a population-based approach. All these advances in one way or another were motivated by the need to sample from very complex distribution for which traditional methods would tend to be trapped in local energy minima. This work aims to provide a self-contained treatment of the Monte Carlo method to this audience.