Journal of Computational Finance最新文献_第10页

Pricing corporate bonds in an arbitrary jump-diffusion model based on an improved Brownian-bridge algorithm 基于改进布朗桥算法的任意跳跃-扩散模型公司债券定价

IF 0.9 4区经济学

Journal of Computational Finance Pub Date : 2011-03-01 DOI: 10.21314/JCF.2011.235

J. Ruf, M. Scherer

引用次数: 17

Pricing Energy Derivatives by Linear Programming: Tolling Agreement Contracts 基于线性规划的能源衍生品定价:收费协议合约

IF 0.9 4区经济学

Journal of Computational Finance Pub Date : 2011-03-01 DOI: 10.21314/JCF.2011.236

Valeriy Ryabchenko, S. Uryasev

引用次数: 8

Generalized Control Variate Methods for Pricing Asian Options 亚洲期权定价的广义控制变量方法

IF 0.9 4区经济学

Journal of Computational Finance Pub Date : 2010-12-01 DOI: 10.21314/JCF.2010.212

Chuan-Hsiang Han, Yongzeng Lai

{"title":"Generalized Control Variate Methods for Pricing Asian Options","authors":"Chuan-Hsiang Han, Yongzeng Lai","doi":"10.21314/JCF.2010.212","DOIUrl":"https://doi.org/10.21314/JCF.2010.212","url":null,"abstract":"The conventional control variate method proposed by Kemna and Vorst (1990) to evaluate Asian options under the Black-Scholes model can be interpreted as a particular selection of linear martingale controls. We generalize the constant control parameter into a control process to gain more reduction on variance. By means of an option price approximation, we construct a martingale control variate method, which outperforms the conventional control variate method. It is straightforward to extend such linear control to a nonlinear situation such as the American Asian option problem. From the variance analysis of martingales, the performance of control variate methods depends on the distance between the approximate martingale and the optimal martingale. This measure becomes helpful for the design of control variate methods for complex problems such as Asian option under stochastic volatility models. We demonstrate multiple choices of controls and test them under MC/QMC (Monte Carlo/ Quasi Monte Carlo)- simulations. QMC methods work signicantly well after adding a control, the variance reduction ratios increase to 260 times for randomized QMC compared with 60 times for MC simulations with a control.","PeriodicalId":51731,"journal":{"name":"Journal of Computational Finance","volume":"14 1","pages":"87-118"},"PeriodicalIF":0.9,"publicationDate":"2010-12-01","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"67700579","PeriodicalName":null,"FirstCategoryId":null,"ListUrlMain":null,"RegionNum":4,"RegionCategory":"经济学","ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":"","EPubDate":null,"PubModel":null,"JCR":null,"JCRName":null,"Score":null,"Total":0}

引用次数: 11

Estimating Greeks in simulating Lévy-driven models 在模拟lsamv驱动模型中估计希腊人

IF 0.9 4区经济学

Journal of Computational Finance Pub Date : 2010-12-01 DOI: 10.21314/JCF.2010.210

P. Glasserman, Zongjian Liu

引用次数: 22

Potential Future Exposure Calculations of Multi-Asset Exotic Products using the Stochastic Mesh Method 用随机网格法计算多资产外来产品的潜在未来风险

IF 0.9 4区经济学

Journal of Computational Finance Pub Date : 2010-12-01 DOI: 10.21314/JCF.2010.211

Leslie Ng, Dave Peterson, A. Rodriguez

引用次数: 12

Portfolio selection with marginal risk control 边际风险控制下的投资组合选择

IF 0.9 4区经济学

Journal of Computational Finance Pub Date : 2010-09-01 DOI: 10.21314/JCF.2010.213

Shushang Zhu, Duan Li, Xiaoling Sun

{"title":"Portfolio selection with marginal risk control","authors":"Shushang Zhu, Duan Li, Xiaoling Sun","doi":"10.21314/JCF.2010.213","DOIUrl":"https://doi.org/10.21314/JCF.2010.213","url":null,"abstract":"Marginal risk that represents the risk contribution of an individual asset is an important criterion in portfolio selection and risk management. In the literature, however, the measure of marginal risk has been only employed in ex post analysis of a portfolio policy, and the control of marginal risk is achieved usually via position diversification that simply imposes upper bounds on the portfolio position without considering the effect of correlations of asset returns in risk diversification. We investigate in this paper a new optimal portfolio selection problem with direct (relative) marginal risk control in the mean-variance framework, accounting for the correlations of asset returns. The resulting optimization model, however, is a notorious non-convex quadratically constrained quadratic programming problem. By exploiting the special structure of the problems, we propose an efficient branch-and-bound solution method to achieve a global optimality in which convex quadratic relaxation subproblems with second-order cone constraints are formulated to generate a tight lower bound. Empirical study shows that the model with marginal risk control is a suitable analytical tool for active portfolio risk management and demonstrates several preferable features of this new model to the traditional mean-variance model in risk management. The method is tested and compared with the commercial global optimization solver BARON for portfolio optimization problems with up to hundreds of assets and tens of marginal risk constraints.","PeriodicalId":51731,"journal":{"name":"Journal of Computational Finance","volume":"14 1","pages":"3-28"},"PeriodicalIF":0.9,"publicationDate":"2010-09-01","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"67700654","PeriodicalName":null,"FirstCategoryId":null,"ListUrlMain":null,"RegionNum":4,"RegionCategory":"经济学","ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":"","EPubDate":null,"PubModel":null,"JCR":null,"JCRName":null,"Score":null,"Total":0}

引用次数: 24

Correlation matrix with block structure and efficient sampling methods 具有块结构的相关矩阵和高效的采样方法

IF 0.9 4区经济学

Journal of Computational Finance Pub Date : 2010-09-01 DOI: 10.21314/JCF.2010.216

Jinggang Huang, Liming Yang

{"title":"Correlation matrix with block structure and efficient sampling methods","authors":"Jinggang Huang, Liming Yang","doi":"10.21314/JCF.2010.216","DOIUrl":"https://doi.org/10.21314/JCF.2010.216","url":null,"abstract":"Random sampling from a multivariate normal distribution is essential for Monte Carlo simulations in many credit risk models. For a portfolio of N obligors, standard methods usually require O(N) calculations to get one random sample. In many applications, the correlation matrix has a block structure that, as we show, can be converted to a “quasi-factor” model. As a result, the cost to get one sample can be reduced to O(N). Such a conversion also enables us to check whether a user-defined “correlation” matrix is positive semidefinite and “fix” it if necessary in an efficient manner. Disclaimer: The models and analyses presented here are exclusively part of a quantitative research effort intended to improve the computation time of Monte Carlo simulations when we deal with a correlation matrix that has a block structure. The views expressed in this paper are the authors’ own and do not necessarily represent the views of Standard & Poor’s. Furthermore, no inferences should be made with regard to Standard & Poor’s credit ratings or any current or future criteria or models used in the ratings process for credit portfolios or any type of financial security.","PeriodicalId":51731,"journal":{"name":"Journal of Computational Finance","volume":"14 1","pages":"81-94"},"PeriodicalIF":0.9,"publicationDate":"2010-09-01","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"67700485","PeriodicalName":null,"FirstCategoryId":null,"ListUrlMain":null,"RegionNum":4,"RegionCategory":"经济学","ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":"","EPubDate":null,"PubModel":null,"JCR":null,"JCRName":null,"Score":null,"Total":0}

引用次数: 8

A behavioural finance-based tick-by-tick model for price and volume 基于行为金融学的价格和交易量逐点模型

IF 0.9 4区经济学

Journal of Computational Finance Pub Date : 2010-09-01 DOI: 10.21314/JCF.2010.215

G. Iyengar, Alfred Ka, Chun-mei Ma

引用次数: 3

The singular points binominal method for pricing American path-dependent options 美国路径依赖期权定价的奇异点二项法

IF 0.9 4区经济学

Journal of Computational Finance Pub Date : 2010-09-01 DOI: 10.21314/JCF.2010.214

M. Gaudenzi, Antonino Zanette, Maria Antonietta Lepellere

引用次数: 10

Unbiased Monte Carlo valuation of lookback, swing and barrier options with continuous monitoring under variance gamma models 方差伽玛模型下持续监测的回顾、波动和障碍期权的无偏蒙特卡罗估值