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 An Application to Pricing Interest Rate Derivatives Monte Carlo Methods.
Наименование:

An Application to Pricing Interest Rate Derivatives Monte Carlo Methods.

автор Roman F.Z. издательство Книга по Требованию Экономическая теория
Cтраниц 136        мягкая обложка       
Аннотация:Monte Carlo simulation represents a powerful and flexible alternative pricing method. The first part focuses on random number generation and on increasing efficiency methods for Monte Carlo, such as variance reduction techniques or low-discrepancy sequences. The book provides an extensive treatment of the entire Monte Carlo simulation theory and is roughly divided into three parts. In the third and final part ordinary and extended Monte Carlo algorithms are implemented and corresponding simulations are run in order to analyze Bermudan swaption prices in detail. The goal of this book is to discuss and implement the fundamentals of Monte Carlo methods and to introduce the wide use of this approach in finance, especially in pricing interest rate derivatives. With rising complexity and diversity of upcoming derivative securities, analytically tractable or closed-form pricing methods are difficult to find or sometimes even inexistent. The target audience of this book is finance graduate students or professionals with similar background and interests. In the following part different term structure models are developed and the link to the simulation theory is established.
Автор: Roman F.Z.
Издательство: Книга по Требованию
Год:2009
Цена:
2402 руб
Нет в наличии
Поиск: An Application to Pricing Interest Rate Derivatives Monte Carlo Methods.
НОВЫЙ ГОД СИМВОЛ 2013 ГОДАУКРАШЕНИЯ
КАРНАВАЛ НА НОВЫЙ ГОД РАСПРОДАЖА
Ортомолекулярная медицина Orthomol Устрание причин заболеваний. Ортомоль это новый метод для лечения и профилактики болезней. Orthomol - ортомолекулярная медицина.
Финансы и кредит: Государственный долг РФ

И хотя случаев отказа в таком переоформлении зафиксировано не было, сам процесс занимает длительное время. Формально стороны оставляют 21 рабочий день, для того чтобы переписать права собственности с продавца на покупателя. При этом в соглашение включено положение о том, что стороны приложат максимум усилий для соблюдения этого срока. Однако на практике это не всегда удается — сделка требует длительного обмена письмами: сначала происходит подтверждение сделки между контрагентами, затем продавец посылает запрос на reassig me (перерегистрацию) во Внешэкономбанк, получает от него положительный ответ, после чего вместе с покупателем переписывает сам кредит. Для упрощения сделок время от времени создаются синдикаты, куда входят основные западные инвестиционные банки, торгующие данным инструментом. Эти синдикаты при посредничестве крупных аудиторских фирм, таких как Ar hur A derso , Price Wa erhouse и др., клирингуют сделки между собой. В результате вместо тысяч перерегистраций возникает необходимость лишь в нескольких с участием начальных и конечных владельцев. Существует и более простой способ торговли, который предпочитают отечественные банки, — нейтинг ( e i g): банк продает купленный кредит прежнему владельцу до истечения стандартного срока в 21 день, производя таким образом подобие арбитражной сделки, которая не требует никакого оформления.
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