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Identifier |
000347020 |
Title |
Υπολογιστικές τεχνικές στη χρηματοοικονομία |
Alternative Title |
Computational methods in finance |
Author
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Μωραΐτη, Μαρίνα Μιχαήλ
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Thesis advisor
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Λουλάκης, Μιχάλης
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Abstract |
Monte Carlo methods are widely used in the simulation of various random
phenomena. In the area of Finance they constitute an essential tool both in
derivative pricing as well as in risk management. They are based on the analogy between volume and probability. This thesis examines and implements a variety of Monte Carlo methods in Finance and consists of four parts.
The first part discusses the various methods for simulating random variables and random processes pahts, with an emphasis to normally distributed random variables and to Brownian Motion and Geometric Brownian Motion paths.
The second part reviews central concepts from the theory of derivative pricing and introduces Monte Carlo estimates to price several derivatives.
Part three focuses on techniques for reducing the variance of the regular Monte Carlo estimator, by introducing new estimates that share the desired properties of Monte Carlo estimators and at the same time manage to reduce variance.
Finally in part four we talk about some basic models for the dynamics of the
interest short rate and brie y about the VaR measure,i.e. the value at risk
measure. We also estimate the 1-month VaR with 99% certainty of a specific portfolio, whose constituents' dynamics follow the CIR (Cox-Ingersoll-Ross) model for the evolution of the interest short rate.
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Language |
Greek |
Subject |
Brownian motion simulation |
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Derivative pricing |
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Estimator efficiency |
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Monte Carlo |
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Random variable generation |
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Value at risk |
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Variance reduction |
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Αξία σε κίνδυνο |
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Αποτελεσματικότητα εκτιμητριών |
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Ελάττωση διασποράς |
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Παραγωγή τυχαίων μεταβλητών |
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Προσομοίωση κίνησης Brown |
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Τιμολόγηση παραγωγών |
Issue date |
2009-10-01 |
Collection
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School/Department--School of Sciences and Engineering--Department of Mathematics--Post-graduate theses
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Type of Work--Post-graduate theses
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Permanent Link |
https://elocus.lib.uoc.gr//dlib/7/3/1/metadata-dlib-f60cb131646671ebdbf75f579e1ed9b7_1276847395.tkl
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Views |
470 |