发明名称 |
Portfolio structuring using low-discrepancy deterministic sequences |
摘要 |
In securities valuation, in setting the initial offering price of a financial instrument, or in later revaluation as financial parameters such as interest rates may change, an estimate of the value of the instrument may be represented as a multi-dimensional integral. For evaluation of the integral, numerical integration is preferred with the integrand being sampled at deterministic points having a low-discrepancy property. The technique produces approximate values at significant computational savings and with greater reliability as compared with the Monte Carlo technique. Further to estimating the value of a complex security, sampling at points of a low-discrepancy deterministic sequence can be used in estimating value at risk in portfolio structuring.
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申请公布号 |
US6058377(A) |
申请公布日期 |
2000.05.02 |
申请号 |
US19980020733 |
申请日期 |
1998.02.09 |
申请人 |
THE TRUSTEES OF COLUMBIA UNIVERSITY IN THE CITY OF NEW YORK |
发明人 |
TRAUB, JOSEPH F.;PASKOV, SPASSIMIR;VANDERHOOF, IRWIN F.;PAPAGEORGIOU, ANARGYROS |
分类号 |
G06Q40/00;(IPC1-7):G06F17/60 |
主分类号 |
G06Q40/00 |
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