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