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Quasi-Monte Carlo Methods in Finance - Mario Rometsch
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Mario Rometsch:
Quasi-Monte Carlo Methods in Finance - nouveau livre

2008, ISBN: 9783836616645

ID: 689057897

Portfolio optimization is a widely studied problem in finance dating back to the work of Merton from the 1960s. While many approaches rely on dynamic programming, some recent contributions use martingale techniques to determine the optimal portfolio allocation. Using the latter approach, we follow a journal article from 2003 and show how optimal portfolio weights can be represented in terms of conditional expectations of the state variables and their Malliavin derivatives. In contrast to other approaches, where Monte Carlo methods are used to compute the weights, here the simulation is carried out using Quasi-Monte Carlo methods in order to improve the efficiency. Despite some previous work on Quasi-Monte Carlo simulation of stochastic differential equations, we find them to dominate plain Monte Carlo methods. However, the theoretical optimal order of convergence is not achieved. With the help of some recent results concerning Monte-Carlo error estimation and backed by some computer experiments on a simple model with explicit solution, we provide a first guess, what could be a way around this difficulties. The book is organized as follows. In the first chapter we provide some general introduction to Quasi-Monte Carlo methods and show at hand of a simple example how these methods can be used to accelerate the plain Monte Carlo sampling approach. In the second part we provide a thourough introduction to Malliavin Calculus and derive some important calculation rules that will be necessary in the third chapter. Right there we will focus on portfolio optimization and and follow a recent journal article of Detemple, Garcia and Rindisbacher from there rather general market model to the optimal portfolio formula. Finally, in the last part we will implement this optimal portfolio by means of a simple model with explicit solution where we find that also their the Quasi-Monte Carlo approach dominates the Monte Carlo method in terms of efficiency and accuracy. Portfolio optimization is a widely studied problem in finance dating back to the work of Merton from the 1960s. While many approaches rely on dynamic programming, some recent contributions use martingale techniques to determine the optimal portfolio allocation. Using the latter approach, we follow a journal article from 2003 and show how optimal portfolio weights can be represented in terms of conditional expectations of the state variables and their Malliavin derivatives. In contrast to other eBooks > Fremdsprachige eBooks > Englische eBooks > Sach- & Fachthemen > Mathematik PDF 01.11.2008 eBook, Diplomica Verlag, .200

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Quasi-Monte Carlo Methods in Finance als eBook von Mario Rometsch - Diplomica Verlag
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Diplomica Verlag:
Quasi-Monte Carlo Methods in Finance als eBook von Mario Rometsch - nouveau livre

ISBN: 9783836616645

ID: 744693848

Quasi-Monte Carlo Methods in Finance ab 43 EURO With Application to Optimal Asset Allocation Diplomica Quasi-Monte Carlo Methods in Finance ab 43 EURO With Application to Optimal Asset Allocation Diplomica eBooks > Belletristik > Erzählungen

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Quasi-Monte Carlo Methods in Finance. With Application to Optimal Asset Allocation - Mario Rometsch
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Mario Rometsch:
Quasi-Monte Carlo Methods in Finance. With Application to Optimal Asset Allocation - Première édition

2008, ISBN: 9783836616645

ID: 21666307

[ED: 1], Auflage, eBook Download (PDF), eBooks, [PU: Diplomica Verlag GmbH]

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Quasi-Monte Carlo Methods in Finance - Mario Rometsch
Livre non disponible
(*)
Mario Rometsch:
Quasi-Monte Carlo Methods in Finance - Première édition

2008, ISBN: 9783836616645

ID: 21666307

With Application to Optimal Asset Allocation, [ED: 1], eBook Download (PDF), eBooks, [PU: Diplomica Verlag]

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Quasi-Monte Carlo Methods in Finance
Livre non disponible
(*)
Quasi-Monte Carlo Methods in Finance - nouveau livre

ISBN: 9783836616645

ID: 4bf371af531699c5df51c942c4e1bfd4

ebook

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Nr. E9783836616645 Frais d'envoiDisponibile spedizione veloce in Italia con corriere espresso (1-2 gg). Verifica costi e condizioni sul sito., 3 - 4 gg, zzgl. Versandkosten, Livraison non-comprise
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