DC Field | Value | Language |
---|---|---|
dc.contributor.advisor | Kang, Wan-Mo | - |
dc.contributor.advisor | 강완모 | - |
dc.contributor.author | Lee, Tae-Ho | - |
dc.contributor.author | 이태호 | - |
dc.date.accessioned | 2011-12-14T04:57:18Z | - |
dc.date.available | 2011-12-14T04:57:18Z | - |
dc.date.issued | 2011 | - |
dc.identifier.uri | http://library.kaist.ac.kr/search/detail/view.do?bibCtrlNo=467733&flag=dissertation | - |
dc.identifier.uri | http://hdl.handle.net/10203/42253 | - |
dc.description | 학위논문(석사) - 한국과학기술원 : 수리과학과, 2011.2, [ ii, 25 p. ] | - |
dc.description.abstract | Beyond the Black-Scholes-Merton Model, there are many stochastic volatility models who want to reflect more realistic phenomena. As a result, financial simulations under the stocahstic volatility model became more and more complicated. The Monte Carlo method is popular in complicated high dimensional financial simulations. To approve the performance of the Monte Carol method, various variance reduction techniques were developed. In this thesis, we mainly deal with two variance reduction techniques known as the control variates method and the importance sampling method. Our main concern is how to optimize related variance reduction techniques with suitable condtions. | eng |
dc.language | eng | - |
dc.publisher | 한국과학기술원 | - |
dc.subject | Monte Carlo method | - |
dc.subject | Variance Reduction Technique | - |
dc.subject | 분산 감소 기법 | - |
dc.subject | 몬테 까를로 메소드 | - |
dc.title | (A) survey on variance reduction techniques in financial simulations | - |
dc.title.alternative | 금융 simulation에서의 분산 감소 기법에 관한 연구 | - |
dc.type | Thesis(Master) | - |
dc.identifier.CNRN | 467733/325007 | - |
dc.description.department | 한국과학기술원 : 수리과학과, | - |
dc.identifier.uid | 020093431 | - |
dc.contributor.localauthor | Kang, Wan-Mo | - |
dc.contributor.localauthor | 강완모 | - |
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