Systems, methods and programs for determining optimal financial structures and risk exposures
作者： Peter Orr
DOI:
关键词: Short-rate model 、 Interest rate 、 Simulation 、 Cash flow 、 Mathematical optimization 、 Computer science 、 Random variable 、 Data set
摘要: A model for analyzing a cashflow sensitive instrument is described that uses an optimization of data set associated with instrument, which based at least in part on interest rate and cash-flow model. The partially one random variable used to simulate underlying distribution rate. output then generated the outputs all optimal solution instrument(s) optimizes factors risk and/or cost. Related methods, programs systems are also provided.
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