Tree on paths method and system for modeling securities

Details Tree on paths method and system for modeling securities Tree on paths method and system for modeling securities

2002-12-20

2010-10-19

Kazimi, Hani M. (Department: 3691)

Data processing: financial, business practice, management, or co

Automated electrical financial or business practice or...

Finance

C705S03600T

Reexamination Certificate

active

07818244

ABSTRACT:
A system for implementing a tree on paths method for generating a recombining interest rate tree from previously generated paths. The inventive method is a tree on paths method whereby a tree is created from previously generated paths. The tree on paths method uses Monte Carlo simulations to generate paths and uses a recombining algorithm to obtain a computationally efficient tree from the generated paths.

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Finance; Research from P. Glasserman and co-authors reveals new findings on finance , Anonymous. Mergers & Acquisitions Business. Atlanta: Feb. 24, 2010. p. 229.

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