Static hedging of multivariate derivatives by simulation

Article Abstract:

A static hedging procedure using Monte Carlo simulation method is presented for multivariate derivatives. Factors like transactions costs, value at risk and expected shortfalls in the options hedging are also discussed.

Management dynamics, Management, Derivatives (Financial instruments), Hedging (Finance), Company business management, Monte Carlo method, Monte Carlo methods

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A volatility decomposition control variate technique for Monte Carlo simulations of Heath Jarrrow Morton models

Article Abstract:

A method for calculating and controlling the volatility of interest rates in Heath Jarrow Morton models using Monte Carol simulation techniques is presented.

Australia, Interest Rates, Analysis, Control, Volatility

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Estimation of asset demands by heterogeneous agents

Article Abstract:

A model analyzing the demand for a financial asset based on the investors' heterogeneous attitudes towards risks is presented.

Market information - general, Cyprus, Asset & Risk Management, Asset Accounting, Methods, Supply and demand, Risk management, Beliefs, opinions and attitudes, Investors, Assets (Accounting)

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