Data processing: financial – business practice – management – or co – Automated electrical financial or business practice or... – Finance
Patent
1998-02-09
2000-05-02
MacDonald, Allen R.
Data processing: financial, business practice, management, or co
Automated electrical financial or business practice or...
Finance
705 35, 705 38, G06F 1760
Patent
active
060583770
ABSTRACT:
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.
Papageorgiou Anargyros
Paskov Spassimir
Traub Joseph F.
Vanderhoof Irwin F.
MacDonald Allen R.
Meinecke-Diaz Susanna
The Trustees of Columbia University in the City of New York
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