Studies in Simulation, Optimal Control, Risk Management and Contingent Capital

模拟、最优控制、风险管理和或有资本研究

• 批准号: RGPIN-2017-05441
• 负责人: Reesor, Ronald
• 金额: $ 1.17万
• 依托单位: Wilfrid Laurier University
• 依托单位国家: 加拿大
• 项目类别: Discovery Grants Program - Individual
• 财政年份: 2017
• 资助国家: 加拿大
• 起止时间: 2017-01-01 至 2018-12-31
• 项目状态: 已结题
• 来源: https://www.nserc-crsng.gc.ca/ase-oro/Details-Detailles_eng.asp?id=635759
• 关键词: Studies; Simulation; Optimal; Control; Risk

This research plan centres on two sets of linked and complementary quantitative finance research programs: 1) simulation, optimal control, and numerical methods in finance; and 2) studies in contingent capital securities. The first project focusses on efficient methods for pricing and risk management of derivative securities with early exercise features. These techniques are important to financial institutions and investors for trading and internal risk management processes and also for determining required capital levels to satisfy both internal and external (regulatory) demands. Monte Carlo methods will be extensively studied, along with some other numerical methods suited for such problems. Results from this work have broader applications such as financial portfolio management, the operation of power generating stations, and the optimal scheduling of maintenance in large systems such as a series of reservoirs.

该研究计划集中在两套相互联系和互补的定量金融研究计划：1）金融模拟，最优控制和数值方法; 2）或有资本证券研究。第一个项目侧重于具有提前行使特征的衍生证券的定价和风险管理的有效方法。这些技术对于金融机构和投资者的交易和内部风险管理流程以及确定满足内部和外部（监管）需求所需的资本水平都很重要。蒙特卡罗方法将被广泛研究，沿着还有其他一些适用于此类问题的数值方法。这项工作的结果有更广泛的应用，如金融投资组合管理，发电站的操作，并在大型系统，如一系列水库的维护的优化调度。