Variance reduction technique for large scale risk management

Details Variance reduction technique for large scale risk management Variance reduction technique for large scale risk management

2006-03-07

2006-03-07

Patel, Jagdish N. (Department: 3624)

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

Automated electrical financial or business practice or...

Finance

C705S035000, C705S007380

Reexamination Certificate

active

07010510

ABSTRACT:
A control variate Monte Carlo simulation for estimating the value of a portfolio of financial instruments is provided. The control variate uses a function dependent upon two state variables, the aggregate principal and the interest rate, to simulate the aggregate value of the portfolio.

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