Multidimensional Quasi-Monte Carlo Malliavin Greeks

We investigate the use of Malliavin calculus in order to calculate the Greeks of multidimensional complex path-dependent options by simulation. For this purpose, we extend the formulas employed by Montero and Kohatsu-Higa to the multidimensional case. The multidimensional setting shows the convenience of the Malliavin Calculus approach over different techniques that have been previously proposed. Indeed, these techniques may be computationally expensive and do not provide flexibility for variance reduction. In contrast, the Malliavin approach exhibits a higher flexibility by providing a class of functions that return the same expected value (the Greek) with different accuracies. This versatility for variance reduction is not possible without the use of the generalized integral by part formula of Malliavin Calculus. In the multidimensional context, we find convenient formulas that permit to improve the localization technique, introduced in Fourni\'e et al and reduce both the computational cost and the variance. Moreover, we show that the parameters employed for variance reduction can be obtained \textit{on the flight} in the simulation. We illustrate the efficiency of the proposed procedures, coupled with the enhanced version of Quasi-Monte Carlo simulations as discussed in Sabino, for the numerical estimation of the Deltas of call, digital Asian-style and Exotic basket options with a fixed and a floating strike price in a multidimensional Black-Scholes market.Comment: 22 pages, 6 figure

The RTU Graduate School Executive Master's Program for school year 2011-2012 as viewed by its respondents

This study was conducted to ascertain the views and opinions of the faculty and personnel as recipients of the Rizal Technological University (RTU) Graduate School Executive Master's program as to its reasons for availment, importance of the core and major subjects of the curriculum, lecturers' professional skills, duration/time allotment, level of satisfaction, significant difference of the two programs, problem encountered and gathered possible solutions to the problems; determine whether the Executive Master's Program was able to realize its goals and objectives and find out the overall impression of the recipients about the Executive Master's Program. A total of fifty (50) RTU faculty and personnel graduated from this Executive Master's program, twenty six (26) Master of Arts in Education (MAEd) and twenty four (24) Master of Arts in Engineering (MAE)

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Optimal Pricing for Web Search Engines

The research and developments on web search engines have been raised to be one of the hottest topics since the popular usage of the internet. Accordingly, how to price the software becomes an important problem and is still unsolved with satisfactions. Using the Principle-Agent method in economics, the pricing model for web search engines based on the theory of Brown Motion with drifts is established. The stopping time is defined for the model, and the expected benefit of the web-search-engine provider over the rental horizon is derived, with a special case for the outright sale. By maximizing the benefit, the optimal price for the outright sale, the optimal monthly rental and the optimal selling price after renting the search engine for a period of time are discussed. Finally, given sets of parameters, simulations are implemented, and the results show that the optimal prices are reasonable.http://gateway.webofknowledge.com/gateway/Gateway.cgi?GWVersion=2&SrcApp=PARTNER_APP&SrcAuth=LinksAMR&KeyUT=WOS:000234851600067&DestLinkType=FullRecord&DestApp=ALL_WOS&UsrCustomerID=8e1609b174ce4e31116a60747a720701Computer Science, Interdisciplinary ApplicationsComputer Science, Theory & MethodsSCI(E)CPCI-S(ISTP)