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Business and Information Technology Faculty Research & Creative Works
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Articles 1 - 2 of 2
Full-Text Articles in Business
Computational Finance Models, Michael Gene Hilgers
Computational Finance Models, Michael Gene Hilgers
Business and Information Technology Faculty Research & Creative Works
The author discusses his involvement in developing computational finance software. These computational finance models attempt to model the randomness of a stock's price. At a fixed future time, a stock's price is modeled as a random variable with a normal distribution centered about the current price adjusted with a simple growth multiplier. The standard deviation of this normal distribution depends on the length of time into the future one peers and the volatility of the market. As the market becomes more volatile and we look further ahead, the less likely the stock will have a price near the adjusted current …
Quasi-Monte Carlo Methods In Cash Flow Testing Simulations, Michael Gene Hilgers
Quasi-Monte Carlo Methods In Cash Flow Testing Simulations, Michael Gene Hilgers
Business and Information Technology Faculty Research & Creative Works
What actuaries call cash flow testing is a large-scale simulation pitting a company''s current policy obligation against future earnings based on interest rates. While life contingency issues associated with contract payoff are a mainstay of the actuarial sciences, modeling the random fluctuations of US Treasury rates is less studied. Furthermore, applying standard simulation techniques, such as the Monte Carlo method, to actual multi-billion dollar companies produce a simulation that can be computationally prohibitive. In practice, only hundreds of sample paths can be considered, not the usual hundreds of thousands one might expect for a simulation of this complexity. Hence, insurance …