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Full-Text Articles in Finance and Financial Management
Monte Carlo And Bootstrapping Carry Trade Simulations In Excel, Tom Arnold, C. Mitchell Conover, Joseph Farizo
Monte Carlo And Bootstrapping Carry Trade Simulations In Excel, Tom Arnold, C. Mitchell Conover, Joseph Farizo
Finance Faculty Publications
In a currency carry trade, an investor borrows money in a low interest rate currency and invests in a high interest rate currency. The trade is profitable if the future exchange rate does not adjust to the interest rate differential. After downloading exchange rate data, a Monte Carlo simulation of a carry trade is performed in Excel based on a normal distribution and the data’s mean and standard deviation. A bootstrapping carry trade simulation exercise is also generated by randomly selecting observations from the historical data. In contrast to the Monte Carlo simulation, the bootstrapping exercise preserves the skewness within …
A Monte-Carlo Analysis Of Monetary Impact Of Mega Data Breaches, Mustafa Canan, Omer Ilker Poyraz, Anthony Akil
A Monte-Carlo Analysis Of Monetary Impact Of Mega Data Breaches, Mustafa Canan, Omer Ilker Poyraz, Anthony Akil
Engineering Management & Systems Engineering Faculty Publications
The monetary impact of mega data breaches has been a significant concern for enterprises. The study of data breach risk assessment is a necessity for organizations to have effective cybersecurity risk management. Due to the lack of available data, it is not easy to obtain a comprehensive understanding of the interactions among factors that affect the cost of mega data breaches. The Monte Carlo analysis results were used to explicate the interactions among independent variables and emerging patterns in the variation of the total data breach cost. The findings of this study are as follows: The total data breach cost …
Implementing Option Pricing Model, Zhao Ming
Implementing Option Pricing Model, Zhao Ming
All Graduate Plan B and other Reports, Spring 1920 to Spring 2023
In this paper I replicate Clewlow and Strickland's control variates methods based on Greek letters method to test if it can improve the simulation efficiency. First, I use Black Scholes Merton formula for option pricing as a benchmark, to compare with the European call option price from Monte Carlo methods. Then I use Greek letters as control variates to reduce sample standard deviation and improve the efficiency of the Monte Carlo simulation. The whole process is programming in C++. C++ is a compiled language which can generate machine code from source code and provide a shorter running time. This paper …
Options Pricing Through Computational Methods, Robert Petty
Options Pricing Through Computational Methods, Robert Petty
All Graduate Plan B and other Reports, Spring 1920 to Spring 2023
The purpose of this paper is to show the practical application of computational methods to price options. Emphasis is especially given to the use of the Longstaff-Schwartz method for pricing American and exotic options. An implementation of these pricing methods in a computer program are demonstrated. The advantages of using object-oriented programming design patterns to make pricing programs more flexible and useful is also discussed.
Does Government Spending Undermine Monetary Policy In Nigeria?, Emmanuel T. Adamgbe, Peter D. Golit, Izuchukwu I. Okafor
Does Government Spending Undermine Monetary Policy In Nigeria?, Emmanuel T. Adamgbe, Peter D. Golit, Izuchukwu I. Okafor
Economic and Financial Review
In Nigeria, anecdotal evidence suggest that the fiscal/operations of government, especially disbursements from the Federation Account to the three-tiers of government, had over the years created liquidity challenges requiring aggressive monetary management. Against the background, this paper addresses two questions: (i) Does government spending have significant spill-over effects on inflation in Nigeria? (ii) Does government, spending induce a concomitant response by the CBN? ln addition, unlike the sparse literature in Nigeria on these two issues, which essentially relies on constant parameter model we use of time-varying parameter vector autoregressive (TVP-VAR) model with stochastic volatility. Applying this framework allows us not …