Path Integrals and Smart Monte Carlo - II

“Smart Monte Carlo” (SMC) improves accuracy and speed. We extend results in an earlier paper, applying SMC to path-dependent deals and multifactor models. Auxiliary results are a path-to-path distance, an analytic approximation for N-dimensional Gaussian integrals, and time interpolation results. We suggest “model perturbation” using simple approximate models, and introduce a new product “DIAS” for better mortgage servicing hedging. We prove a consistency condition for the MRG interest-rate model, and discuss real-world vs. risk-neutral simulations

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Year of publication:	2016
Authors:	Dash, Jan
Other Persons:	Yang, Xipei (contributor)
Publisher:	[2016]: [S.l.] : SSRN
Subject:	Monte-Carlo-Simulation \| Monte Carlo simulation \| Theorie \| Theory

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