Portfolio structuring using low-discrepancy deterministic sequen

Details Portfolio structuring using low-discrepancy deterministic sequen Portfolio structuring using low-discrepancy deterministic sequen

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.

Affiliated with

Also associated with

Rating

Portfolio structuring using low-discrepancy deterministic sequen does not yet have a rating. At this time, there are no reviews or comments for this patent.

If you have personal experience with Portfolio structuring using low-discrepancy deterministic sequen, we encourage you to share that experience with our LandOfFree.com community. Your opinion is very important and Portfolio structuring using low-discrepancy deterministic sequen will most certainly appreciate the feedback.

Rate now

Comments { 0 }

Profile ID: LFUS-PAI-O-1601792