ERN: Simulation Methods (Topic)最新文献_第5页

Monte Carlo Simulation with Machine Learning for Pricing American Options and Convertible Bonds 用机器学习的蒙特卡罗模拟为美国期权和可转换债券定价

ERN: Simulation Methods (Topic) Pub Date : 2015-11-01 DOI: 10.2139/ssrn.2684523

Bella Dubrov

{"title":"Monte Carlo Simulation with Machine Learning for Pricing American Options and Convertible Bonds","authors":"Bella Dubrov","doi":"10.2139/ssrn.2684523","DOIUrl":"https://doi.org/10.2139/ssrn.2684523","url":null,"abstract":"Li, Szepesvari and Schuurmans (2009) show that reinforcement learning (RL) algorithms are superior to the classical methods (such as Longstaff and Schwartz (2001)) in pricing American options using Monte Carlo simulation. We extend their techniques to the problem of pricing convertible bonds and show that RL outperforms LS on this task. Additionally, we propose a new method, based on the random forest algorithm from machine learning [Breiman (2001)], that can be used for pricing both American options and convertible bonds with Monte Carlo simulation. We show that this algorithm outperforms LS and is also superior to RL in most cases. We demonstrate how to use Monte Carlo simulation with the methods described above for pricing a complex convertible bond trading at the Tel Aviv stock exchange. Like many Israeli convertibles, this bond exhibits the \"gradually diminishing principal\" feature, meaning that instead of one payment of the principal at maturity, there are multiple principal payments during the lifetime of the bond. This feature presents a challenge to existing models. We also model other exotic features of this bond, such as path-dependent conversion ratio and exchange rate indexation. The prices that we obtain using this model are close to the market prices of the bond.","PeriodicalId":364869,"journal":{"name":"ERN: Simulation Methods (Topic)","volume":"19 1","pages":"0"},"PeriodicalIF":0.0,"publicationDate":"2015-11-01","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"121863888","PeriodicalName":null,"FirstCategoryId":null,"ListUrlMain":null,"RegionNum":0,"RegionCategory":"","ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":"","EPubDate":null,"PubModel":null,"JCR":null,"JCRName":null,"Score":null,"Total":0}

引用次数: 3

Implementing a Monte Carlo Simulation: Correlation, Skew, and Kurtosis 实现蒙特卡罗模拟:相关、偏态和峰度

ERN: Simulation Methods (Topic) Pub Date : 2015-09-23 DOI: 10.2139/ssrn.2665147

Stuart A. McCrary

引用次数: 4

A Computational Spectral Approach to Interest Rate Models 利率模型的计算谱方法

ERN: Simulation Methods (Topic) Pub Date : 2015-07-24 DOI: 10.2139/ssrn.2635012

L. Di Persio, Gregorio Pellegrini, M. Bonollo

{"title":"A Computational Spectral Approach to Interest Rate Models","authors":"L. Di Persio, Gregorio Pellegrini, M. Bonollo","doi":"10.2139/ssrn.2635012","DOIUrl":"https://doi.org/10.2139/ssrn.2635012","url":null,"abstract":"The Polynomial Chaos Expansion (PCE) technique recovers a finite second order random variable exploiting suitable linear combinations of orthogonal polynomials which are functions of a given stochas- tic quantity {xi}, hence acting as a kind of random basis. The PCE methodology has been developed as a mathematically rigorous Uncertainty Quantification (UQ) method which aims at providing reliable numerical estimates for some uncertain physical quantities defining the dynamic of certain engineering models and their related simulations. In the present paper we exploit the PCE approach to analyze some equity and interest rate models considering, without loss of generality, the one dimensional case. In particular we will take into account those models which are based on the Geometric Brownian Motion (gBm), e.g. the Vasicek model, the CIR model, etc. We also provide several numerical applications and results which are discussed for a set of volatility values. The latter allows us to test the PCE technique on a quite large set of different scenarios, hence providing a rather complete and detailed investigation on PCE-approximation's features and properties, such as the convergence of statistics, distribution and quantiles. Moreover we give results concerning both an efficiency and an accuracy study of our approach by comparing our outputs with the ones obtained adopting the Monte Carlo approach in its standard form as well as in its enhanced version.","PeriodicalId":364869,"journal":{"name":"ERN: Simulation Methods (Topic)","volume":"11 1","pages":"0"},"PeriodicalIF":0.0,"publicationDate":"2015-07-24","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"125028105","PeriodicalName":null,"FirstCategoryId":null,"ListUrlMain":null,"RegionNum":0,"RegionCategory":"","ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":"","EPubDate":null,"PubModel":null,"JCR":null,"JCRName":null,"Score":null,"Total":0}

引用次数: 3

To Basel or Not to Basel? Banking Crises and Contagion 去巴塞尔还是不去巴塞尔?银行业危机及其蔓延

ERN: Simulation Methods (Topic) Pub Date : 2015-06-29 DOI: 10.1108/JFRC-11-2014-0045

Aristeidis Samitas, Stathis Polyzos

{"title":"To Basel or Not to Basel? Banking Crises and Contagion","authors":"Aristeidis Samitas, Stathis Polyzos","doi":"10.1108/JFRC-11-2014-0045","DOIUrl":"https://doi.org/10.1108/JFRC-11-2014-0045","url":null,"abstract":"Purpose - – The purpose of this paper is to propose an object-oriented model of financial simulations which aims to test the applicability and suitability of the proposed measures of Basel III with respect to the prevention of banking crises. Design/methodology/approach - – The authors introduce an object-oriented model of financial simulations in the banking sector, namely, virtual banking (VBanking). The system is based on behavioural simulation of economic agents and allows for transactions between them, using various forms of financial assets. VBanking has been implemented as an automated stand-alone model, allowing for repetitive simulations under the same parameter sets, producing an efficient series of statistical data. Findings - – Interpretation of the resulting data suggests that some of the criticism against the proposed measures is justified, as neither economic crises nor contagion are diminished under Basel III. At the same time, the authors’ findings support that the stability goal is met, at least in part. Research limitations/implications - – The model encompasses a relatively small part of the banking sector, while the authors choose not to deal with the production part of the economy. However, these limitations do not hinder the validity and importance of the authors’ findings. Originality/value - – The originality of this article lies in the use of an object-oriented behavioural model and in the resulting model application that is based on it. This enables the authors to run a series of simulations with different parameters, the results of which the authors can then compare. The authors’ findings can contribute to the authorities’ efforts to ameliorate the policies of Basel III.","PeriodicalId":364869,"journal":{"name":"ERN: Simulation Methods (Topic)","volume":"60 1","pages":"0"},"PeriodicalIF":0.0,"publicationDate":"2015-06-29","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"130132335","PeriodicalName":null,"FirstCategoryId":null,"ListUrlMain":null,"RegionNum":0,"RegionCategory":"","ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":"","EPubDate":null,"PubModel":null,"JCR":null,"JCRName":null,"Score":null,"Total":0}

引用次数: 19

Validating the Assumptions of Sequential Bifurcation in Factor Screening 因子筛选中序列分岔假设的验证

ERN: Simulation Methods (Topic) Pub Date : 2015-06-17 DOI: 10.2139/ssrn.2627090

Wen Shi, J. Kleijnen

引用次数: 3

BLP Estimation Using Laplace Transformation and Overlapping Simulation Draws 基于拉普拉斯变换和重叠仿真图的BLP估计

ERN: Simulation Methods (Topic) Pub Date : 2015-05-29 DOI: 10.2139/ssrn.2612266

H. Hong, Huiyu Li, Jessie Li

引用次数: 5

An Information Theoretic Criterion for Empirical Validation of Time Series Models 时间序列模型经验验证的信息论准则

ERN: Simulation Methods (Topic) Pub Date : 2015-02-20 DOI: 10.2139/ssrn.2570828

F. Lamperti

{"title":"An Information Theoretic Criterion for Empirical Validation of Time Series Models","authors":"F. Lamperti","doi":"10.2139/ssrn.2570828","DOIUrl":"https://doi.org/10.2139/ssrn.2570828","url":null,"abstract":"Simulated models suffer intrinsically from validation and comparison problems. The choice of a suitable indicator quantifying the distance between the model and the data is pivotal to model selection. However, how to validate and discriminate between alternative models is still an open problem calling for further investigation, especially in light of the increasing use of simulations in social sciences. In this paper, we present an information theoretic criterion to measure how close models' synthetic output replicates the properties of observable time series without the need to resort to any likelihood function or to impose stationarity requirements. The indicator is sufficiently general to be applied to any kind of model able to simulate or predict time series data, from simple univariate models such as Auto Regressive Moving Average (ARMA) and Markov processes to more complex objects including agent-based or dynamic stochastic general equilibrium models. More specifically, we use a simple function of the L-divergence computed at different block lengths in order to select the model that is better able to reproduce the distributions of time changes in the data. To evaluate the L-divergence, probabilities are estimated across frequencies including a correction for the systematic bias. Finally, using a known data generating process, we show how this indicator can be used to validate and discriminate between different models providing a precise measure of the distance between each of them and the data.","PeriodicalId":364869,"journal":{"name":"ERN: Simulation Methods (Topic)","volume":"97 1","pages":"0"},"PeriodicalIF":0.0,"publicationDate":"2015-02-20","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"127102748","PeriodicalName":null,"FirstCategoryId":null,"ListUrlMain":null,"RegionNum":0,"RegionCategory":"","ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":"","EPubDate":null,"PubModel":null,"JCR":null,"JCRName":null,"Score":null,"Total":0}

引用次数: 46

The Impact of Step-Down Unit Care on Patient Outcomes 降压单元护理对患者预后的影响

ERN: Simulation Methods (Topic) Pub Date : 2014-12-15 DOI: 10.2139/ssrn.2859231

Lijian Lu, Carri W. Chan, L. Green, G. Escobar

{"title":"The Impact of Step-Down Unit Care on Patient Outcomes","authors":"Lijian Lu, Carri W. Chan, L. Green, G. Escobar","doi":"10.2139/ssrn.2859231","DOIUrl":"https://doi.org/10.2139/ssrn.2859231","url":null,"abstract":"Step Down Units (SDUs) were initially introduced in hospitals in order to provide an intermediate level of care for semi-critically ill patients who are not sick enough to require intensive care but not stable enough to be treated in the general medical/surgical ward. However, there is a lack of consensus within the medical community as to how these units should be used as well as the impact of SDU care on patient outcomes. Using data from 10 hospitals from a single hospital network, we use instrumental variable approaches to estimate the impact on patient outcomes of routing patients to the SDU from the Emergency Department (ED) as well as the Intensive Care Unit (ICU). Our empirical findings suggest that SDU care is associated with better clinical outcomes for some patients – reducing in-hospital mortality by 6%-20%, shortening hospital length-of-stay (LOS) by 0.5-1.08 days or reducing ICU readmission rate by 4% and hospital readmission rate by 8%. However, inappropriately admitting patients to the SDU is associated with an increase in mortality risk by 1.60% and hospital LOS by nearly a factor of 2. Our findings suggest that an SDU may be a cost effective way to treat patients when used as a true step down unit, i.e. for patients who are post-ICU. However, the impact of SDU care is more nuanced if and when other patients are admitted— for some patients, SDU admission is associated with substantial degradation of outcomes, while for others, it is associated with slightly improved outcomes.","PeriodicalId":364869,"journal":{"name":"ERN: Simulation Methods (Topic)","volume":"19 1","pages":"0"},"PeriodicalIF":0.0,"publicationDate":"2014-12-15","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"116421732","PeriodicalName":null,"FirstCategoryId":null,"ListUrlMain":null,"RegionNum":0,"RegionCategory":"","ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":"","EPubDate":null,"PubModel":null,"JCR":null,"JCRName":null,"Score":null,"Total":0}

引用次数: 5

Portfolio Optimization and Monte Carlo Simulation 投资组合优化与蒙特卡罗模拟

ERN: Simulation Methods (Topic) Pub Date : 2014-08-03 DOI: 10.2139/SSRN.2438121

M. E. H. Pedersen

引用次数: 12

A MPEC Estimator for Misclassification Models 错误分类模型的MPEC估计器

ERN: Simulation Methods (Topic) Pub Date : 2014-07-03 DOI: 10.2139/ssrn.2352935

Ruichang Lu, Yao Luo, Ruli Xiao

引用次数: 3