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 |
CA2280476(A1) |
申请公布日期 |
2000.12.18 |
申请号 |
CA19992280476 |
申请日期 |
1999.08.18 |
申请人 |
THE TRUSTEES OF COLUMBIA UNIVERSITY IN THE CITY OF NEW YORK |
发明人 |
PAPAGEORGIOU, ANARGYROS;VANDERHOOF, IRWIN T.;TRAUB, JOSEPH F.;PASKOV, SPASSIMIR |
分类号 |
G06Q40/00;(IPC1-7):G06F17/60;G06F17/17 |
主分类号 |
G06Q40/00 |
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