95 research outputs found
Analytic results and weighted Monte Carlo simulations for CDO pricing
We explore the possibilities of importance sampling in the Monte Carlo
pricing of a structured credit derivative referred to as Collateralized Debt
Obligation (CDO). Modeling a CDO contract is challenging, since it depends on a
pool of (typically about 100) assets, Monte Carlo simulations are often the
only feasible approach to pricing. Variance reduction techniques are therefore
of great importance. This paper presents an exact analytic solution using
Laplace-transform and MC importance sampling results for an easily tractable
intensity-based model of the CDO, namely the compound Poissonian. Furthermore
analytic formulae are derived for the reweighting efficiency. The computational
gain is appealing, nevertheless, even in this basic scheme, a phase transition
can be found, rendering some parameter regimes out of reach. A
model-independent transform approach is also presented for CDO pricing.Comment: 12 pages, 9 figure
A Hedged Monte Carlo Approach to Real Option Pricing
In this work we are concerned with valuing optionalities associated to invest
or to delay investment in a project when the available information provided to
the manager comes from simulated data of cash flows under historical (or
subjective) measure in a possibly incomplete market. Our approach is suitable
also to incorporating subjective views from management or market experts and to
stochastic investment costs. It is based on the Hedged Monte Carlo strategy
proposed by Potters et al (2001) where options are priced simultaneously with
the determination of the corresponding hedging. The approach is particularly
well-suited to the evaluation of commodity related projects whereby the
availability of pricing formulae is very rare, the scenario simulations are
usually available only in the historical measure, and the cash flows can be
highly nonlinear functions of the prices.Comment: 25 pages, 14 figure
A model for a large investor trading at market indifference prices. I: single-period case
We develop a single-period model for a large economic agent who trades with
market makers at their utility indifference prices. A key role is played by a
pair of conjugate saddle functions associated with the description of Pareto
optimal allocations in terms of the utility function of a representative market
maker.Comment: Shorten from 69 to 30 pages due to referees' requests; a part of the
previous version has been moved to "The stochastic field of aggregate
utilities and its saddle conjugate", arXiv:1310.728
Study of the lineshape of the chi(c1) (3872) state
A study of the lineshape of the chi(c1) (3872) state is made using a data sample corresponding to an integrated luminosity of 3 fb(-1) collected in pp collisions at center-of-mass energies of 7 and 8 TeV with the LHCb detector. Candidate chi(c1)(3872) and psi(2S) mesons from b-hadron decays are selected in the J/psi pi(+)pi(-) decay mode. Describing the lineshape with a Breit-Wigner function, the mass splitting between the chi(c1 )(3872) and psi(2S) states, Delta m, and the width of the chi(c1 )(3872) state, Gamma(Bw), are determined to be (Delta m=185.598 +/- 0.067 +/- 0.068 Mev,)(Gamma BW=1.39 +/- 0.24 +/- 0.10 Mev,) where the first uncertainty is statistical and the second systematic. Using a Flatte-inspired model, the mode and full width at half maximum of the lineshape are determined to be (mode=3871.69+0.00+0.05 MeV.)(FWHM=0.22-0.04+0.13+0.07+0.11-0.06-0.13 MeV, ) An investigation of the analytic structure of the Flatte amplitude reveals a pole structure, which is compatible with a quasibound D-0(D) over bar*(0) state but a quasivirtual state is still allowed at the level of 2 standard deviations
Measurement of the CKM angle in and decays with
A measurement of -violating observables is performed using the decays
and , where the meson is
reconstructed in one of the self-conjugate three-body final states and (commonly denoted ). The decays are analysed in bins of the -decay phase space, leading
to a measurement that is independent of the modelling of the -decay
amplitude. The observables are interpreted in terms of the CKM angle .
Using a data sample corresponding to an integrated luminosity of
collected in proton-proton collisions at centre-of-mass
energies of , , and with the LHCb experiment,
is measured to be . The hadronic
parameters , , , and ,
which are the ratios and strong-phase differences of the suppressed and
favoured decays, are also reported
Pricing Bermudan Interest Rate Swaptions via Parallel Simulation under the Extended Multi-factor LIBOR Market Model
Part 12: DATICSInternational audienceWe present a parallel algorithm and its implementation that computes lower and upper bounds for prices of Bermudan swaptions. The evolving of the underlying forward rates is assumed to follow the extended multi-factor LIBOR market model. We follow the Longstaff-Schwartz least-squares approach in computing a lower bound and the Andersen-Broadie duality-based procedure in computing an upper bound. Parallelisation in the implementation is achieved through POSIX threading. High-performance Intel MKL functions are used for regression and linear algebra operations. The parallel implementation was tested using Bermudan swaptions with different parameters on Intel multi-core machines. In all the tests the parallel program produced close results to those reported in the previous studies. Significant speedups were observed against an efficient sequential implementation built for comparison
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