| Technical Name | Spherical Monte Carlo simulation with applications in finance | ||
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| Project Operator | National Chiao Tung University | ||
| Project Host | 鄧惠文 | ||
| Summary | please see the attached slides. |
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| Scientific Breakthrough | please see the attached slides. |
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| Industrial Applicability | The proposed simulation scheme can be applied to calculation the regulatory capital requirement in the backing industry to meet the requirements of Basel accords. |
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| Keyword | Monte Carlo simulation variance reduction techniques financial risk management Basel accords spherical distributions importance sampling exotic options options portfolio management heavy-tailed distributions | ||
| Notes | |||
- Contact
- venteng@gmail.com
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