Εκτίμηση Monte Carlo των παραμέτρων ευαισθησίας δικαιωμάτων για την αντιστάθμιση κινδύνων χαρτοφυλακίων
Monte Carlo estimation of option sensitivity parameters for the construction of portfolio hedging strategies
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Keywords
Διαχείριση χαρτοφυλακίου ; Διαχείριση κινδύνου ; Προσομοίωση Monte Carlo ; Χρηματοοικονομικά παράγωγα ; Μαθηματικά μοντέλα ; ΑλγόριθμοιAbstract
The main aim of this thesis is to present various methods for estimating portfolio sensitivity parameters using Monte-Carlo simulation, especially when there are no analytical formulas available, e.g. as in the case of Asian options. Initially, an introduction to financial derivatives and the Monte-Carlo simulation method will be given. The mathematical framework of Brownian motion and Geometric Brownian motion as well as the mathematical model of Black and Scholes will also be briefly presented. The main part of this thesis consists of the description of various methods for estimating the sensitivity parameters through Monte-Carlo simulation. Portfolio sensitivity parameters are quantities that reflect the change in the fair value of a derivative product with respect to the value change of several model parameters (e.g. price of underlying asset, market volatility, interest rate, time etc.). The computation of these quantities at any time is necessary in order to hedge the risk of a given portfolio. Finally, we include several applications of option pricing using appropriate computer software (Wolfram Mathematica).
Postgraduate Studies Programme
Εφαρμοσμένη ΣτατιστικήDepartment
Σχολή Χρηματοοικονομικής και Στατιστικής. Τμήμα Στατιστικής και Ασφαλιστικής ΕπιστήμηςNumber of pages
75Language
GreekCollections
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Attribution-NonCommercial-NoDerivatives 4.0 Διεθνές
Attribution-NonCommercial-NoDerivatives 4.0 Διεθνές