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http://tdr.lib.ntu.edu.tw/jspui/handle/123456789/789Full metadata record
| ???org.dspace.app.webui.jsptag.ItemTag.dcfield??? | Value | Language |
|---|---|---|
| dc.contributor.advisor | 韓傳祥 | |
| dc.contributor.author | Hsuan-Hung Kuo | en |
| dc.contributor.author | 郭宣宏 | zh_TW |
| dc.date.accessioned | 2021-05-11T05:04:33Z | - |
| dc.date.available | 2019-07-04 | |
| dc.date.available | 2021-05-11T05:04:33Z | - |
| dc.date.copyright | 2019-07-04 | |
| dc.date.issued | 2019 | |
| dc.date.submitted | 2019-06-24 | |
| dc.identifier.citation | References
[1] Yen-An Chen. ”Importance Sampling for Estimating High Dimensional Joint Default Probabilities”. MA thesis. National Taiwan University, July 2017. [2] Dung-Cheng Lin. ”Asymptotically Optimal Importance Sampling for Lower Tail Probability Estimation under Matrix Valued Stochastics”. MA thesis. National Taiwan University, July 2018. [3] Paul Glasserman, Wanmo Kang and Perwez Shahabuddin. ”Fast Simulation of Multifactor Portfolio Credit Risk.” Operations Research, vol. 56, 1200-1217, 2008. [4] Paul Glasserman, Wanmo Kang and Perwez Shahabuddin. ”Large deviations in multifactor portfolio credit risk.” Mathematical Finance, vol. 17, 345-379, 2007. [5] Paul Glasserman, Jingyi Li. ”Importance sampling for portfolio credit risk.” Management Science, 51(11):1643-1656, 2005. [6] Steven E. Shreve. Stochastic Calculus for Finance II. Springer Finance, 2004. [7] Michel Mandjes. Large Deviations for Gaussian Queues. WILEY, 2007. [8] Pham H. ”Large deviations in mathematical finance.”Lecture Notes, University of Paris 7, 2010. [9] James Bucklew. Introduction to rare event simulation. Springer Science & Business Media, 2013. [10] Viral Acharya et al. ”Measuring systemic risk.” The Review of Financial Studies 30.1(2017), pp. 2-47. | |
| dc.identifier.uri | http://tdr.lib.ntu.edu.tw/handle/123456789/789 | - |
| dc.description.abstract | 這份論文有兩部分。在第一部分，我們會用重要抽樣法來估計稀有事件的期望值。在常態分配或是布朗運動模型下，可以證明我們提出的方法是有效率的。我們也會說明如何應用重要抽樣法來評估系統風險。在第二部分，我們會應用大離差理論在有限時間的投資最佳化上面。 | zh_TW |
| dc.description.abstract | There are two parts in this paper. In the first part, we will focus on estimating the expectations under a rare event with the importance sampling method. Under Normal distribution or Brownian motion, we can prove that our proposed method is efficient. We will also show how to apply the importance sampling method to measure the systemic risk. In the second part, we will apply large deviation theory to the finite-horizon investment optimization. | en |
| dc.description.provenance | Made available in DSpace on 2021-05-11T05:04:33Z (GMT). No. of bitstreams: 1 ntu-108-R05246007-1.pdf: 442025 bytes, checksum: a3cf6c6feb8bc45acc580a3b16ea5768 (MD5) Previous issue date: 2019 | en |
| dc.description.tableofcontents | 摘要 iii
Abstract v 1 Introduction 1 Part 1 3 2 Standard Normal Case 4 2.1 Change measure 4 2.2 Asymptotic variance analysis 5 2.3 Numerical results 7 3 Brownian Motion Case 8 3.1 Change measure 8 3.2 Asymptotic variance analysis 9 3.3 Numerical results 11 4 Geometric Brownian Motion Case 12 4.1 Change measure 12 4.2 Asymptotic variance analysis 13 4.3 Numerical results 17 5 Applications to Measuring Systemic Risk 18 5.1 Stochastic Volatility model 18 5.2 First Passage Time Case 20 Part 2 23 6 Optimal Finite-Horizon Investment 24 6.1 Constant Investment Strategy 25 6.2 Deterministic Investment Strategy 28 7 Conclusion 31 References 32 | |
| dc.language.iso | en | |
| dc.title | 大離差理論在系統風險和投資組合最佳化的應用 | zh_TW |
| dc.title | Applications of Large Deviation Theory to Systemic Risk and Portfolio Optimization | en |
| dc.date.schoolyear | 107-2 | |
| dc.description.degree | 碩士 | |
| dc.contributor.oralexamcommittee | 陳宏,許順吉 | |
| dc.subject.keyword | 重要抽樣法,漸進最佳,大離差,體系風險,投資組合最佳化, | zh_TW |
| dc.subject.keyword | importance sampling,asymptotic optimality,large deviation,systemic risk,optimal portfolio, | en |
| dc.relation.page | 32 | |
| dc.identifier.doi | 10.6342/NTU201901030 | |
| dc.rights.note | 同意授權(全球公開) | |
| dc.date.accepted | 2019-06-25 | |
| dc.contributor.author-college | 理學院 | zh_TW |
| dc.contributor.author-dept | 應用數學科學研究所 | zh_TW |
| Appears in Collections: | 應用數學科學研究所 | |
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| File | Size | Format | |
|---|---|---|---|
| ntu-108-1.pdf | 431.67 kB | Adobe PDF | View/Open |
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