金融风险管理理论与实务.pptVIP

Antithetic variable technique uses twice the same sequence of random draws from t to T. It takes the original sequence and changes the sign of all their values Control variate technique a similar option has an analytical solution Quasi-random sequences create draws that are not independent but instead are designed to fill the sample space more uniformly many sources of financial risk V(ε) = E(εε‘)= R the matrix R is a symmetric real matrix, it can be decomposed into its so-called Cholesky factors (Cholesky factorization) construct the transformed variable ε = Tη V(ε) =E(εε) = E((Tη)(Tη))