G - Physics – 06 – F
Patent
G - Physics
06
F
G06F 17/10 (2006.01) G06F 17/60 (2000.01)
Patent
CA 2364920
A method and device for valuation of financial derivatives, wherein a value of a derivative is computed by a determination of an expectation. Input parameters are communicated by an input unit to a computer, such as at least one processor, to establish an integrand as a function of the input parameters. A multivariate integration domain is computed. A sparse grid method is used to determine integration points and integration weights as a function of the input parameters. The integrand is integrated with an integration domain at the integration points to determine integrand values. One or more expectation parameters are computed by combining the integrand values and the integration weights. A value of the derivative is communicated through an output unit, for example to a display monitor or another display device.
Gerstner Thomas
Griebel Michael
Wahl Sebastian
Gerstner Thomas
Griebel Michael
Robic
Wahl Sebastian
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