Università Cattolica del Sacro Cuore

Notizie

Si terrà il giorno 19 giugno, alle ore 11.00 presso l'Aula 200, Via Necchi 9, il seminario "Unified moment-based simulation of multivariate polynomial processes and ap-plications in financial engineering", Relatore prof. Riccardo Brignone, Università di Friburgo, modera il prof. Davide Radi 
Abstract
Polynomial processes are a class of Markov processes which have the property that moments can be computed easily and efficiently by computing the exponential of a matrix. In this paper, we propose a general simulation scheme for multivariate polynomial processes. The methodology is based on the approximate computation of conditional moments given joint moments and on performing random sampling given such conditional moments. The general methodology can be adapted to the simulation of many stochastic models of practical relevance in financial engineering. It turns out to be very useful because it can be applied to stochastic volatility models (for example, the Jacobi model) and commodity price models (for example, the Pilipovi{\'c} model), for which semi-analytical European options pricing formulas (e.g., FFT or COS methods) or exact simulation schemes are not available, rendering it necessary to use approximations. We compare the proposed simulation schemes against various benchmarks and find that the new methodology improves the runtime/accuracy performances with respect to existing methods.

 


Si terrà il giorno 20 giugno 2024, alle ore 15.00 presso l'Aula C.010, Via Carducci 28/30, la presentazione del volume "Infinito" - Relatori prof. Umberto Bottazzini - Università degli studi di Milano, autore e prof. Alfredo Malavolta, Università Cattolica