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Statistical Simulation Algorithm Research and Its Applications in Finance Analysis

Author: ChenGuangHua
Tutor: WangBinHui
School: Jinan University
Course: Quantitative Economics
Keywords: Statistical simulation algorithm Asset Pricing Risk Management Optimal portfolio
CLC: F832.5
Type: Master's thesis
Year: 2011
Downloads: 161
Quote: 0
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Abstract


Due to the continuous development of financial liberalization and financial innovation , the endless stream of financial innovations , more and more people involved in financial activities , financial products, trading volume continued to enlarge , which financial data was explosive growth . To study the problems of finance , it is necessary to analyze the amount of the financial data of the day . So , modern finance is increasing emphasis on the integration of financial , statistical and computer science . Statistical simulation techniques have emerged in the field of financial statistics and developing very rapidly . It uses a mechanism to simulate the actual financial system , making complex financial system modeling can be achieved . Based on this, the paper first statistical simulation algorithm research and improvement . Thereby establishing a statistical simulation algorithm - based pricing model of financial products , financial risk management model , securities investment strategy analysis model and the optimal securities portfolio selection model . Statistical simulation algorithm in the pricing of financial assets , the combination of China 's financial market , respectively, using the standard Monte Carlo model , the BS option pricing model and the improved statistical simulation algorithm to estimate the price of options and convertible bonds . Statistical simulation algorithm in financial risk management and investment strategy , statistical simulation algorithm is applied in China's stock market value at risk estimation model . The estimated VaR Shanghai Composite Index before and after the introduction of stock index futures . VaR stock market run the channel is constructed and made a run channel - based investment strategy . The statistical simulation algorithms in the selection of the optimal portfolio of securities , this paper established optimization model , the expected return of the portfolio , the model must constraints , risk minimization as the goal . Mostly multimodal nonlinear programming problems require global optimal solution more difficult. This paper introduces the simulated annealing algorithm to solve the optimal portfolio selection problem .

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CLC: > Economic > Fiscal, monetary > Finance, banking > China's financial,banking > Financial market
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