Data processing: financial – business practice – management – or co – Automated electrical financial or business practice or... – Finance
Patent
1997-07-30
1999-08-17
Weinhardt, Robert A.
Data processing: financial, business practice, management, or co
Automated electrical financial or business practice or...
Finance
705 37, G06F 1760
Patent
active
059408103
ABSTRACT:
In securities trading, 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.
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Paskov Spassimir
Traub Joseph F.
Vanderhoof Irwin F.
The Trustees of Columbia University in the City of New York
Weinhardt Robert A.
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