Simulation methodology for financial assets with imprecise data

Result code in IS VaVaI
<a href="https://www.isvavai.cz/riv?ss=detail&h=RIV%2F61989100%3A27510%2F11%3A86079332" target="_blank" >RIV/61989100:27510/11:86079332 - isvavai.cz</a>
Result on the web
—
DOI - Digital Object Identifier
—

Result language
angličtina
Original language name
Simulation methodology for financial assets with imprecise data
Original language description
During last decades the stochastic simulation approach, both via Monte Carlo (MC) and Quasi Monte Carlo (QMC) has been vastly applied and subsequently analyzed in almost all branches of science. Very nice applications can be found in areas that rely on modeling via stochastic processes, such as finance. However, since financial quantities, opposed to natural processes, depend on human activity, their modeling is often very challenging. Many scholars therefor suggest to specify some parts of financial models by means of fuzzy set theory. In this contribution the recent knowledge of fuzzy numbers and their approximation is utilized in order to suggest fuzzy-MC simulation to modeling of returns of financial quantities, such as prices of stocks, commodities or exchange rates. Finally, three distinct types of potential fuzzy-stochastic models are suggested, including quantile estimation illustrations.
Czech name
—
Czech description
—

Publication year
2011
Confidentiality
S - Úplné a pravdivé údaje o projektu nepodléhají ochraně podle zvláštních právních předpisů

Article name in the collection
Proceedings of the 29th International Conference on Mathematical Methods in Economics 2011 - part I
ISBN
978-80-7431-058-4
ISSN
—
e-ISSN
—
Number of pages
6
Pages from-to
709-714
Publisher name
Professional Publishing
Place of publication
Prague
Event location
Janska Dolina
Event date
Sep 6, 2011
Type of event by nationality
EUR - Evropská akce
UT code for WoS article
000309074600118

Similar results(10)