Statistics Seminars 2019
Lunedì 4 Marzo 2019 ore 15
Aula seminari - Dipartimento di Scienze Statistiche, I piano
“Forward or backward simulation? A comparative study”
Dr. Piergiacomo Sabino - Uniper Global Commodities SE, Dusseldorf
Abstract:"The aim of this study is to present algorithms for the backward
simulation of standard processes that are commonly used in financial
applications. We extend the works of Ribeiro and Webber and Avramidis
and L’Ecuyer on gamma bridge and obtain the backward construction of
a Gamma process. Moreover, we are able to write a novel
acceptance-rejection algorithm to simulate Inverse Gaussian (IG)
processes backward in time. Therefore, using the time-change approach,
we can easily get the backward generation of the Compound Poisson with
infinitely divisible jumps, the Variance–Gamma the
Normal–Inverse–Gaussian processes and then the time-changed version of
the OU process (SubOU) introduced by Li and Linetsky. We then compare
the computational costs of the sequential and backward path generation
of such processes and show the advantages of adopting the latter one, in
particular in the context of pricing American options or energy
facilities like gas storages."
Tutti gli interessati sono invitati a partecipare
Alberto Lanconelli
Dipartimento di Scienze Statistiche "Paolo Fortunati"
Alma Mater Studiorum - Università di Bologna