Apparatus and method for evaluation of financial derivatives with the aid of thin grids

Technical problem and objective DOLLAR A Quick and accurate valuation of complex financial derivatives is a key problem for many banks, insurance companies and investors. In many cases, the price of such derivatives can be determined as the expected value. Existing devices and methods for calculating these expected values, based on Monte Carlo or quasi-Monte Carlo integration, but are very time-consuming and inaccurate. DOLLAR DOLLAR A solution of the object A, the measurement of financial derivatives is by means of a device consisting of a computer and a process performed based on multivariate numerical integration by means of thin grids. The proposed method can efficiently calculate the expected values ​​occurring than previous methods, and thus determine the prices of derivatives significantly faster and more accurate. DOLLAR A The apparatus includes an input (1) and an output unit (6), a memory unit (5) and a program unit (2-4). The program unit consists of a building module (2), a Diskretisierungsmodul (3) and an integration module (4). DOLLAR A In the case of non-smooth integrands as such. As occur in the evaluation of options, the domain of integration is decomposed by transformations in smooth subregions. An additional acceleration of the process is made possible by dimension reduction and parallelization. A DOLLAR DOLLAR A field of application The device allows, together with the proposed method, the ...