Session TC3 - Méthodes numériques / Numerical Methods
Day Tuesday, May 05, 2009 Room Gérard Parizeau President Michèle Breton
Presentations
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03h30 PM- 03h55 PM |
Refinacement optimal et tarification des titres hypothécaires |
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Ali Boudhina, GERAD, HEC Montréal, Montréal, Québec, Canada Michèle Breton, GERAD, HEC Montréal, Méthodes quantitatives de gestion, 3000 Côte-Ste-Catherine, Montréal, Québec, Canada, H3T 2A7 On présente un modèle de tarification des titres hypothécaires avec exercice optimal de l’option de remboursement anticipé. On y utilise la programmation dynamique combinée avec l’approximation par éléments finis pour extraire le seuil d’exercice pour l’emprunteur. Afin de répliquer les caractéristiques empiriques du remboursement anticipé, on introduit dans le programme dynamique des extensions qui permettent de tenir compte de la qualité du crédit de l’emprunteur et de l’exercice sous-optimal. |
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03h55 PM- 04h20 PM |
A Spectral Dynamic Programming Approximation for Pricing Derivatives |
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Saad Serghini Idrissi, GERAD, HEC Montréal, Montréal, Québec, Canada Michèle Breton, GERAD, HEC Montréal, Méthodes quantitatives de gestion, 3000 Côte-Ste-Catherine, Montréal, Québec, Canada, H3T 2A7 Javier de Frutos, GERAD, Universidad de Valladolid, Matematica Aplicada y Computacion, Valladolid, Spain, 47011 In this paper, we propose a derivative pricing numerical algorithm. The procedure is based on Dynamic Programming coupled with spectral approximation, using Chebychev polynomials, to compute the value of a derivative at all observation dates and for all possible realizations of the price process. Numerical experimentations are presented, comparing spectral and finite element approximation in a DP framework. |
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04h20 PM- 04h45 PM |
A Fuzzy Method for Security Screening |
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Mohammad Shahalizadeh, Islamic Azad University-Tehran South Branch, Productivity and System Management Department, Jamalzadeh Shomali-Kooche khosro-, Tehran, Tehran, IRAN-Islamic Republic of, 14787-53615 Anyone participating in the capital markets uses screens, a procedure for reducing a large set of alternatives to a more manageable number of options. In most investment applications it is necessary to use several stages of screening. In this study, a simple fuzzy method is proposed to use the advantages of both precise and vague/uncertain data concerning the stocks. |