Economical numerical methods for solving two-dimensional equations of the black-scholes type
European options on several assets. The Black-Scholes-Merton model. Numerical method. Sparse grid combination technique. Applying the method to the option pricing problem. Solving the transformed equation. Monte Carlo simulations. Bermudan styles.
Подобные документы
Discuss a number of procedures that are designed for testing the specification of econometric models, concerned with the numerical properties of these OLS estimates and refer to certain properties of estimates as "numerical" if they have nothing to do.
монография, добавлен 08.03.2014Measurement of potential losses in the value of the asset VaR. Approaches that are used to compute Value at Risk: the variance-covariance approach, the historical and the Monte Carlo simulations. Risk assessment value at risk as a qualitative tool.
эссе, добавлен 29.05.2014Transformation of model equations and analysis. The mathematical model that explores the dynamics of the impact of the use of condom and therapeutic treatment simultaneously. Nonlinear differential equation system consisting in groups of the population.
статья, добавлен 20.05.2017Comparison of the results of combining quality indicators presented in verbal-numerical scales (based on the matrix of correspondence between the classes of verbal and numerical equivalence), with the aim of obtaining the scale of complex quality index.
статья, добавлен 29.01.2016The tools application in the areas: quantitative measures of nonlinear dynamics, Monte-Carlo statistical hypothesis testing, nonlinear modeling. The method of surrogate data. Estimation of correlation dimension. Times series embedding and reconstruction.
книга, добавлен 25.11.2013Characterization of the discussion of heuristics and bias (biases) considered by Daniel Kahneman and Amos Tversky. Fast and economical heuristics proposed by Gerd Gigerenzer and colleagues. An interdisciplinary study of the analytical network method.
статья, добавлен 14.08.2020The use of mathematical methods in economic analysis is the most important direction for improving management systems. Mathematical methods speed up economic analysis, increase the accuracy of calculations and take into account the impact on productivity.
статья, добавлен 27.12.2023The method of linear programming (simplex method) as the method of systematic improvement and quality management, in particular the formation of grinding compounds, and the use of the resulting models to predict, control and optimize the process.
статья, добавлен 28.09.2016The potential loss in value of a risky asset or portfolio over a defined period for a given confidence interval. Historical and Monte Carlo Simulation. Value at Risk as a risk assessment tool at banks and other financial service firms in the last decade.
эссе, добавлен 25.02.2014Justification of the importance of financial analysis of enterprises in the modern market economy. Estimating of the current financial condition of the enterprise using the constructed fuzzy model that implements Mamdani's fuzzy inference method.
статья, добавлен 14.09.2016Patterns and factors of strategic profiles of enterprises' innovation. The formation model and calculation of criteria of these strategic profiles to select the best option from a set of alternative states which a company might enter through management.
статья, добавлен 27.09.2016Использование системы моделирования для оценки эффективности распределенной вычислительной среды в различных ситуациях. Сценарий работы системы моделирования Grid. Основные компоненты системы моделирования Grid. Обработка результатов моделирования.
реферат, добавлен 29.09.2014Approach to the linear model of international trade based on the theory of Markov processes. Continuous model of international trade is built, in which the transition of the system from state to state is described by linear differential equations.
статья, добавлен 29.11.2016Non-uniform distributions in hotelling model. Decision making under uncertainty and ambiguity in hotelling model. New markets and new products in Hotelling model. Formulation of the problem and motivation. Optima number of demo products.
дипломная работа, добавлен 27.08.2016The general mathematical model for probabilities of the infocommunication system states. Interrelation of dependencies of traditional parameters of system reliability with traditional parameters of queuing methods. The differential equation systems.
статья, добавлен 19.06.2018Cyclically adjusted price-earnings ratio - one of the most valuable insights for a better measure of publicly held company's long-term financial performance. The forecasting model which based on the method to test predictors of the equity premium.
дипломная работа, добавлен 01.12.2019A focused factory is a approach for manufacturing enterprise. The development of heuristic scheduling algorithm in step-by-step method. Nagare cell is a combination of manual and semiautomatic machine for maximum output flexibility for productions.
статья, добавлен 17.04.2013The formation of the decision support system in the field of regional development management have been considered. Different approaches in the framework of integration into the structure of adaptive simulation models of problem-oriented knowledge bases.
статья, добавлен 26.08.2021The most effective model to evaluate the enterprise innovative capacity subject to an uncertainty factor is the model based on the fuzzy sets theory. The model has obvious advantages in comparison with the expert and statistical methods of evaluation.
статья, добавлен 28.09.2016- 20. Logistic approaches to economic-mathematical modeling of pricing influence in government procurement
The influence of controlled and uncontrolled factors on price formation in public procurement procedures. Advantages and drawbacks of competitive tender procedures. The mathematical model for estimating the expected procurement price depending of bidders.
статья, добавлен 24.02.2016 Ideas of vanguard investigators about applying probability models and applications (stochastic processes and inference, distributions and characterizations, Bayesian inference, selection methods, regression methods) in health and economic research.
книга, добавлен 25.11.2013This study is intended the major issues of applying econometric and machine learning techniques to a daily demand prediction problem. The purpose of the paper is going to be achieved via the models’ predictive power comparison on bakery retail chain data.
дипломная работа, добавлен 14.07.2020The problem of studying the relationship of economic indicators in economic analysis. Construction of an econometric model of the ratio of the exchange rate of tenge to the ruble and the possibility of using it to forecast real economic processes.
статья, добавлен 23.06.2020- 24. Modelling of special warning indicators for banking crises: the evidence from developing economies
General comparison of signaling and econometric approaches, arguments for and against each of methods to predict a banking collapse. Econometric approach of banking crises' modelling. Fitting the prediction model for banking crisis 2008-2009 in Russia.
дипломная работа, добавлен 28.08.2016 The impact of futures indexes introduction on the volatility and market efficiency of the underlying assets. Investigation of the hedging of the futures. Relationship between the real estate U.S. futures index and American, European and Australian.
дипломная работа, добавлен 29.11.2015