Narrow search
Showing 1 - 10 of 84,979
Cover Image
Simulation-based valuation of project finance: does model complexity really matter?
Weber, Florian; Schmid, Thomas; Pietz, Matthäus; … - Fakultät für Wirtschaftswissenschaften, Technische … - 2010
forecasting techniques, e.g. correlation forecasts based on historical values and on a dynamic conditional correlation (DCC) model … varied. We find that the applied volatility forecasting models have a strong influence on the expected net present value … distribution and on the probability of default. In contrast, correlation forecasting models play a minor role. Time resolution and …
Persistent link: https://www.econbiz.de/10009219934
Cover Image
Simulation-based valuation of project finance : does model complexity really matter?
Weber, Florian; Schmid, Thomas; Pietz, Matthäus; … - 2010
forecasting techniques, e.g. correlation forecasts based on historical values and on a dynamic conditional correlation (DCC) model … varied. We find that the applied volatility forecasting models have a strong influence on the expected net present value … distribution and on the probability of default. In contrast, correlation forecasting models play a minor role. Time resolution and …
Persistent link: https://www.econbiz.de/10008659217
Cover Image
Optimization of power plant investments under uncertain renewable energy development paths : a multistage stochastic programming approach
Fürsch, Michaela; Nagl, Stephan Nikolaus; … - 2012
Electricity generation from renewable energy sources (RES-E) is supposed to increase significantly within the coming decades. However, uncertainty about the progress of necessary infrastructure investments, public acceptance and cost developments of renewable energies renders the achievement of...
Persistent link: https://www.econbiz.de/10009743587
Cover Image
An alternative Bayesian approach to structural breaks in time series models
Hauwe, Sjoerd van den; Paap, Richard; Dijk, Dick van - 2011
We propose a new approach to deal with structural breaks in time series models. The key contribution is an alternative dynamic stochastic specification for the model parameters which describes potential breaks. After a break new parameter values are generated from a so-called baseline prior...
Persistent link: https://www.econbiz.de/10011383033
Cover Image
Option Portfolio Value at Risk Using Monte Carlo Simulation Under a Risk Neutral Stochastic Implied Volatility Model
He, Peng - 2013
This paper calculates option portfolio Value at Risk (VaR) using Monte Carlo simulation under a risk neutral stochastic implied volatility model. Compared to benchmark delta-normal method, the model produces more accurate results by taking into account nonlinearity, passage of time,...
Persistent link: https://www.econbiz.de/10013090202
Cover Image
Method of Iterated Integrals for Solution of Stochastic Integrals with Applications to Monte Carlo Simulation of Stochastic Differential Equations
Amin, Ahsan - 2018
In this article we suggest a new method for solutions of stochastic integrals where the dynamics of the variables in integrand are given by some stochastic differential equation. We also propose numerical simulation of stochastic differential equations which is based on iterated integrals method...
Persistent link: https://www.econbiz.de/10012925940
Cover Image
The Heston Stochastic-Local Volatility Model : Efficient Monte Carlo Simulation
van der Stoep, Anthonie - 2018
In this article we propose an efficient Monte Carlo scheme for simulating the stochastic volatility model of Heston (1993) enhanced by a non-parametric local volatility component. This hybrid model combines the main advantages of the Heston model and the local volatility model introduced by...
Persistent link: https://www.econbiz.de/10012938458
Cover Image
Monte Carlo Calibration Method of Stochastic Volatility Model with Stochastic Interest Rate
Xu, Mingyang - 2019
Implied volatility skew and smile are ubiquitous phenomena in the financial derivative market especially after the Black Monday 1987 crash. Various stochastic volatility models have been proposed to capture volatility skew and smile in derivative pricing and hedging. Almost 30 years after the...
Persistent link: https://www.econbiz.de/10012868202
Cover Image
Multilevel Monte Carlo Simulation for the Heston Stochastic Volatility Model
Zheng, Chao - 2020
We combine the multilevel Monte Carlo (MLMC) method with the numerical scheme for the Heston model that simulates the variance process exactly or almost exactly and applies the stochastic trapezoidal rule to approximate the time-integrated variance process within the SDE of the logarithmic asset...
Persistent link: https://www.econbiz.de/10012855361
Cover Image
Unbiased Monte Carlo Simulation of Diffusion Processes
Paulot, Louis - 2016
Monte Carlo simulations of diffusion processes often introduce bias in the final result, due to time discretization. Using an auxiliary Poisson process, it is possible to run simulations which are unbiased. In this article, we propose such a Monte Carlo scheme which converges to the exact value....
Persistent link: https://www.econbiz.de/10012992773