#_LOCATIONMAP
Date/Time
Date(s) - 27/05/2022
12:00 pm - 1:00 pm
Categories
https://www.theactuary.com/2022/01/28/taking-shape-brownian-blancmange-fractal-and-how-it-can-be-used-hedging
Brownian motion has many uses in actuarial work, but stochastic models based upon it can be complex and difficult to replicate. By their nature, Monte Carlo scenarios start from a common point but end in random places. We show how to construct paths that are similar to Brownian motion, using a deterministic method that is simple and easily replicated, and which has end points that a user can choose. Applications include the assessment of Value at Risk for dynamically hedged portfolios.
Bookings
Bookings are closed for this event.