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AnnaZ · 2023年03月08日

真的看晕了,前面一个助教回复是说Mont Carlo模拟老师从没讲过修正,

NO.PZ2018123101000102

问题如下:

Fujioka tells Maalouf that she has been reading about the use of Monte Carlo forward- rate simulation for fixed income valuation. She asks Maalouf to further explain this approach to her. Maalouf replies, “The Monte Carlo approach is quite different from the binomial tree approach I’ve been describing to you. Some of these differences include:”

Difference 1: The Monte Carlo approach does not require calibration, whereas the binomial tree approach does.

Difference 2: The Monte Carlo approach is typically employed when cash flows are path dependent, whereas the binomial tree approach only allows one expected cash flow per node, regardless of the path of interest rates.

Difference 3: The Monte Carlo approach randomly simulates a fixed number of interest rate paths and values the security only across those paths, whereas the binomial tree approach values the security across all possible interest rate paths on the tree.

Of the three differences Maalouf describes between the binomial tree approach to fixed-income valuation and the Monte Carlo simulation approach, he is least likely correct regarding:

选项:

A.

Difference 3.

B.

Difference 2.

C.

Difference 1.

解释:

A Monte Carlo forward rate simulation randomly generates a large number of interest rate paths that will correctly value benchmark bonds only by chance. A fixed amount, known as a drift term, is added to every forward interest rate on every simulated path to calibrate the simulation so that the values estimated for benchmark bonds equal their market prices.

只有二叉树有修正,MC没有。这里又说二叉树和MC模拟都要修正,到底要怎么样?还是说MC模拟的时候,drift term的操作就是修正,但又不是必须做的,好晕这几道题的答案。

1 个答案

pzqa015 · 2023年03月10日

嗨,爱思考的PZer你好:


在蒙塔卡罗模拟公式中加入一个常数(drift),让用模型估计的benchmark的价格等于市场价格,这个过程是修正蒙特卡洛模拟的过程,也可以称作是calibration(校准)。

drift term不是必须的,原版书对这的描述是:如果使用了drift term,那么说这个模型是被drift adjusted。

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SiriChing10 · 2023年05月03日

HE老师的基础课视频里说add a drift term的过程就是MCS calibration的过程

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