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Sabine Schwandegger
Quasi-Monte Carlo Methods and Monte Carlo Methods
in the Valuation of Swaps
2014. 64 S. 220 mm
Verlag/Jahr: AV AKADEMIKERVERLAG 2014
ISBN: 3-639-49385-0 (3639493850)
Neue ISBN: 978-3-639-49385-6 (9783639493856)
Preis und Lieferzeit: Bitte klicken
The first part gives a little insight into a special part of the number theory, namely, Quasi-Monte Carlo method and in the course of this introduces fundamental knowledge about discrepancy of point sequences. An illustrative proof of a famous result concerning the lower bound of the star discrepancy of sequences in [0,1) is presented. Furthermore an improvement of this bound is presented and analysed. In the second part focus on the valuation af an interest rate swap. The required theory and one special approach to carry out the valuation is presented. During this, the method of Monte Carlo simulation is used.
After graduation of comercial academy and starting working life the decision to study Industrial Mathematics at JKU Linz does not appear likely. Nevertheless it was the right decision for Sabine Schwandegger as she graduted with an evaluation of excellent.