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tianquer · 2020年03月04日

问一道题:NO.PZ2018123101000101

问题如下:

Annisquam wants Hake to develop a program for pricing securities that are interest rate path dependent, such as mortgage-backed securities (MBS). He believes that using the Monte Carlo method and employing 2,000 simulations will provide an average present value across all scenarios equal to the actual market value of the securities. Hake runs a simulation and uses it to value a benchmark bond. He finds that the value generated does not equal the market price of the bond.

To correct the problem Hake encounters when using a Monte Carlo simulation, he would most likely:

选项:

A.

adjust the volatility assumption.

B.

increase the number of simulations.

C.

add a constant to all interest rates on all paths.

解释:

Using a Monte Carlo simulation, the model will produce benchmark bond values equal to the market prices only by chance. A constant is added to all interest rates on all paths such that the average present value for each benchmark bond equals its market value.

A不可以么?调整 volatility

1 个答案

吴昊_品职助教 · 2020年03月05日

蒙特卡洛模拟中为了校正利率路径,需要在所有的利率路径上加上的是一个恒定的drift term,最终使得现金流折现的现值等于现在的市场价格。C选项可以当成一个结论记忆一下。

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NO.PZ2018123101000101 问题如下 Annisquwants Hake to velop a progrfor pricing securitiesthare interest rate path pennt, sumortgage-backesecurities(MBS). He believes thusing the Monte Carlo methoanemploying 2,000simulations will provi average present value across all scenarios equtothe actumarket value of the securities. Hake runs a simulation anuses itto value a benchmark bon He fin ththe value generatees not equthemarket priof the bonTo corretheproblem Hake encounters when using a Monte Carlo simulation, he woulmostlikely: A.aust the volatility assumption. B.increase the number of simulations. a a constant toall interest rates on all paths. Using a Monte Carlo simulation, the mol will procebenchmark bonvalues equto the market prices only chance. A constant isaeto all interest rates on all paths suththe average present valuefor eabenchmark bonequals its market value. 老师,我不太明白这道题,为什么加个恒定的反而调整了,而不是调整波动率?

2023-08-09 10:33 1 · 回答

NO.PZ2018123101000101 问题如下 Annisquwants Hake to velop a progrfor pricing securitiesthare interest rate path pennt, sumortgage-backesecurities(MBS). He believes thusing the Monte Carlo methoanemploying 2,000simulations will provi average present value across all scenarios equtothe actumarket value of the securities. Hake runs a simulation anuses itto value a benchmark bon He fin ththe value generatees not equthemarket priof the bonTo corretheproblem Hake encounters when using a Monte Carlo simulation, he woulmostlikely: A.aust the volatility assumption. B.increase the number of simulations. a a constant toall interest rates on all paths. Using a Monte Carlo simulation, the mol will procebenchmark bonvalues equto the market prices only chance. A constant isaeto all interest rates on all paths suththe average present valuefor eabenchmark bonequals its market value. 请问给MC mol加ift term来修正,算是calibration吗,还是只有Binomitree的修正可以成为calibration?

2022-08-12 15:53 1 · 回答

NO.PZ2018123101000101 ift term不是constant的吧 一般不是随时间改变而改变吗

2021-03-07 19:02 2 · 回答

您好,请问B为啥不对呢?谢谢

2020-02-17 22:43 1 · 回答