演講公告

演講主題：Optimal exponentially tilted importance sampling in pricing financial derivatives
主講人：鄧惠文教授 (中央大學統計所)
演講日期：2014年10月21日(星期二) 下午2:00 –3:00
演講地點：(光復校區) 科學一館223室
茶會時間：當天下午1:30 (科學一館205室)
摘要內容：
Pricing financial derivatives efficiently is essential and challenging in financial markets. This paper proposes an exponentially tilted importance sampling based on the criterion of minimizing the variance of the importance sampling estimators, in which the optimal tilting parameter is characterized via a device termed as the conjugate measure and can be searched via a simple yet fast Newton-Raphson procedure. Specially, we focus on derivatives pricing when the payoff function can be described by normal distributions. Since searching the optimal tilting parameter is rather computationally demanding in high dimensions, we propose simplied tilting formulas which perform reasonably well compared to the original optimal tilting formula. Finally, our numerical experiments show that the proposed impor-tance sampling is easy to implement and is applicable to a wide range of financial derivatives, including exotic options and credit derivatives.
相關檔案：Talk_1031021.doc

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