Quasi-Monte Carlo Methods in Finance : (Record no. 79014)

MARC details
000 -LEADER
fixed length control field 05907nam a22004813i 4500
001 - CONTROL NUMBER
control field EBC594667
003 - CONTROL NUMBER IDENTIFIER
control field MiAaPQ
005 - DATE AND TIME OF LATEST TRANSACTION
control field 20191126105546.0
006 - FIXED-LENGTH DATA ELEMENTS--ADDITIONAL MATERIAL CHARACTERISTICS
fixed length control field m o d |
007 - PHYSICAL DESCRIPTION FIXED FIELD--GENERAL INFORMATION
fixed length control field cr cnu||||||||
008 - FIXED-LENGTH DATA ELEMENTS--GENERAL INFORMATION
fixed length control field 191125s2008 xx o ||||0 eng d
020 ## - INTERNATIONAL STANDARD BOOK NUMBER
International Standard Book Number 9783836616645
Qualifying information (electronic bk.)
020 ## - INTERNATIONAL STANDARD BOOK NUMBER
Canceled/invalid ISBN 9783836666640
035 ## - SYSTEM CONTROL NUMBER
System control number (MiAaPQ)EBC594667
035 ## - SYSTEM CONTROL NUMBER
System control number (Au-PeEL)EBL594667
035 ## - SYSTEM CONTROL NUMBER
System control number (CaPaEBR)ebr10487429
035 ## - SYSTEM CONTROL NUMBER
System control number (OCoLC)679418983
040 ## - CATALOGING SOURCE
Original cataloging agency MiAaPQ
Language of cataloging eng
Description conventions rda
-- pn
Transcribing agency MiAaPQ
Modifying agency MiAaPQ
050 #4 - LIBRARY OF CONGRESS CALL NUMBER
Classification number QA298 -- .R66 2008eb
082 0# - DEWEY DECIMAL CLASSIFICATION NUMBER
Classification number 500
100 1# - MAIN ENTRY--PERSONAL NAME
Personal name Rometsch, Mario.
9 (RLIN) 63968
245 10 - TITLE STATEMENT
Title Quasi-Monte Carlo Methods in Finance :
Remainder of title With Application to Optimal Asset Allocation.
250 ## - EDITION STATEMENT
Edition statement 1st ed.
264 #1 - PRODUCTION, PUBLICATION, DISTRIBUTION, MANUFACTURE, AND COPYRIGHT NOTICE
Place of production, publication, distribution, manufacture Hamburg :
Name of producer, publisher, distributor, manufacturer Diplomica Verlag,
Date of production, publication, distribution, manufacture, or copyright notice 2008.
264 #4 - PRODUCTION, PUBLICATION, DISTRIBUTION, MANUFACTURE, AND COPYRIGHT NOTICE
Date of production, publication, distribution, manufacture, or copyright notice ©2008.
300 ## - PHYSICAL DESCRIPTION
Extent 1 online resource (138 pages)
336 ## - CONTENT TYPE
Content type term text
Content type code txt
Source rdacontent
337 ## - MEDIA TYPE
Media type term computer
Media type code c
Source rdamedia
338 ## - CARRIER TYPE
Carrier type term online resource
Carrier type code cr
Source rdacarrier
490 1# - SERIES STATEMENT
Series statement Diplomica
505 0# - FORMATTED CONTENTS NOTE
Formatted contents note Quasi-Monte Carlo Methods in Finance With Application to Optimal Asset Allocation -- Abstract -- Acknowledgment -- Contents -- List of Figures -- Introduction -- 1 Monte Carlo and quasi-Monte Carlomethods -- 1.1 Numerical integration -- 1.2 Evaluation of integrals with Monte Carlo methods -- 1.3 Quasi-Monte Carlo methods -- 1.3.1 Introduction -- 1.3.2 Discrepancy -- 1.3.3 The Koksma-Hlawka inequality -- 1.4 Classical constructions -- 1.4.1 One-dimensional sequences -- 1.4.2 Multi-dimensional sequences -- 1.5 (t,m,s)-nets and (t,s)-sequences -- 1.5.1 Variance reduction -- 1.5.2 Nets and sequences -- 1.5.3 Two constructions for (t,s)-sequences -- 1.6 Digital nets and sequences -- 1.7 Lattice rules -- 1.8 The curse of dimension revisited -- 1.8.1 Padding techniques -- 1.8.2 Latin Supercube sampling -- 1.9 Time consumption of the various point generators -- 1.10 quasi-Monte Carlo methods in Finance -- 1.10.1 Example: Arithmetic option -- 1.10.2 Path generation -- 1.10.3 Sampling size -- 1.10.4 Results -- 2 Malliavin Calculus -- 2.1 Wiener-Itˆo chaos expansion -- 2.2 Skorohod integral -- 2.3 Differentiation of random variables -- 2.4 Examples of Malliavin derivatives -- 2.5 The Clark-Ocone formula -- 2.6 The generalized Clark-Ocone formula -- 2.7 Multivariate Malliavin Calculus -- 3 Asset Allocation -- 3.1 Problem formulation -- 3.1.1 Financial market model -- 3.1.2 Wealth process -- 3.1.3 Expected utility -- 3.1.4 Portfolio problem -- 3.1.5 Equivalent static problem -- 3.1.6 Optimal portfolio -- 3.2 Solution of the portfolio problem -- 3.2.1 Optimal portfolio -- 3.2.2 Optimal portfolio with constant relative risk aversion (CRRA) -- 4 Implementation -- 4.1 A single state variable model with explicit solution -- 4.2 Simulation-based approach -- 4.3 SDE system as multidimensional SDE -- 4.4 Error analysis -- 4.4.1 Discretisation error.
505 8# - FORMATTED CONTENTS NOTE
Formatted contents note 4.4.2 Conditional expectation approximation error -- 4.5 Numerical results -- 4.5.1 One year time horizon -- 4.5.2 Two year time horizon -- 4.5.3 Five year time horizon -- 4.5.4 Experiments with a small time horizon -- Conclusion -- Summary -- Bibliography.
520 ## - SUMMARY, ETC.
Summary, etc. Portfolio optimization is a widely studied problem in finance dating back to the work of Merton from the 1960s. While many approaches rely on dynamic programming, some recent contributions usemartingale techniques to determine the optimal portfolio allocation.Using the latter approach, we follow a journal article from 2003 and show how optimal portfolio weights can be represented in terms of conditional expectations of the state variables and their Malliavin derivatives.In contrast to other approaches, where Monte Carlo methods are used to compute the weights, here the simulation is carried out using Quasi-Monte Carlo methods in order to improve the efficiency. Despite some previous work on Quasi-Monte Carlo simulation of stochastic differential equations, we find them to dominate plain Monte Carlo methods. However, the theoretical optimal order of convergence is not achieved.With the help of some recent results concerning Monte-Carlo error estimation and backed by some computer experiments on a simple model with explicit solution, we provide a first guess, what could be a way around this difficulties.The book is organized as follows. In the first chapter we provide some general introduction to Quasi-Monte Carlo methods and show at hand of a simple example how these methods can be used to accelerate the plain Monte Carlo sampling approach. In the second part we provide a thourough introduction to Malliavin Calculus and derive some important calculation rules that will be necessary in the third chapter. Right there we will focus on portfolio optimization and and follow a recent journal article of Detemple, Garcia and Rindisbacher from there rather general market model to the optimal portfolio formula. Finally, in the last part we will implement this optimal portfolio by means of a simple model with explicit solution where we find that also
520 8# - SUMMARY, ETC.
Summary, etc. their the Quasi-Monte Carlo approach dominates the Monte Carlo method in terms of efficiency and accuracy.
588 ## - SOURCE OF DESCRIPTION NOTE
Source of description note Description based on publisher supplied metadata and other sources.
590 ## - LOCAL NOTE (RLIN)
Local note Electronic reproduction. Ann Arbor, Michigan : ProQuest Ebook Central, 2019. Available via World Wide Web. Access may be limited to ProQuest Ebook Central affiliated libraries.
650 #0 - SUBJECT ADDED ENTRY--TOPICAL TERM
Topical term or geographic name entry element Monte Carlo method -- Finance.;Asset allocation.
9 (RLIN) 63969
655 #4 - INDEX TERM--GENRE/FORM
Genre/form data or focus term Electronic books.
9 (RLIN) 63970
776 08 - ADDITIONAL PHYSICAL FORM ENTRY
Relationship information Print version:
Main entry heading Rometsch, Mario
Title Quasi-Monte Carlo Methods in Finance : With Application to Optimal Asset Allocation
Place, publisher, and date of publication Hamburg : Diplomica Verlag,c2008
International Standard Book Number 9783836666640
797 2# - LOCAL ADDED ENTRY--CORPORATE NAME (RLIN)
Corporate name or jurisdiction name as entry element ProQuest (Firm)
830 #0 - SERIES ADDED ENTRY--UNIFORM TITLE
Uniform title Diplomica
9 (RLIN) 63971
856 40 - ELECTRONIC LOCATION AND ACCESS
Uniform Resource Identifier <a href="https://ebookcentral.proquest.com/lib/thebc/detail.action?docID=594667">https://ebookcentral.proquest.com/lib/thebc/detail.action?docID=594667</a>
Public note Click to View
887 ## - NON-MARC INFORMATION FIELD
Content of non-MARC field EBK
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