Estimation and Calibration
7.1
Introduction
Virtually all models in finance have parameters that must be specified in order
to completely describe them. Statistical estimation can be used for some or all
of these parameters under two important conditions:
Verification and Validation
of Simulation Models
According to the Sargent paper:
Verification: ensuring that the computer program of the
computerized model and its implementation are
correct
Validation: substantiation that a computerized model
within its
Executive Summaries /
Presentations
Need volunteers for various executive
summaries on schedule
15 min presentations, 5 min discussion
Everyone has to present at least once
If all executive summary topics are take, you may
do a current topic related t
Verification and Validation
of Simulation Models
According to the Sargent paper:
Verification: ensuring that the computer program of the
computerized model and its implementation are
correct
Validation: substantiation that a computerized model
within its
Proceedings of the 1998 Winter Simulation Conference
D.J. Medeiros, E.F. Watson, J.S. Carson and M.S. Manivannan, eds.
VERIFICATION AND VALIDATION OF SIMULATION MODELS
Robert G. Sargent
Simulation Research Group
Department of Electrical Engineering and Co
Calibration and Estimation of MFE VaR MC
Babak Saadat
function MFE_CAL_ESM
n=1~10
load('MFE_VARdata');
%
%
%
%
%
The estimated settings for drift vol and correlations for each economic period
dates for each period were derived from S&P 500 data
the expans
FIN658
Introduction To Stochastic Modeling
for Finance and Related Fields
Administrative Details
Instructor:
Office:
Telephone:
E-Mail:
Office Hours:
Class Times:
Course Page:
Laulima
FIN 735:
Dan port
E601j
808-956-7494
[email protected]
by appointment
WF
Calibration and Estimation of MFE VaR MC
Babak Saadat
function MFE_CAL_ESM
n=1~10
load('MFE_VARdata');
%
%
%
%
%
The estimated settings for drift vol and correlations for each economic period
dates for each period were derived from S&P 500 data
the expans
FIN658
Simulation Calibration and Parameter Estimation
Announcements
Remember
Dont be afraid to speak up, especially if you are confused or
think something is wrong!
Stop me (or whomever is presenting) anytime, you will earn
participation credit (and m
1. [10 points] Use the Kitty Cannon MC simulation we started in class for
estimating pi by creating a function that uses n samples (kittys to shoot) and
returns the mean and standard deviation of repeating this m times
(simulation runs). You may find crea
FIN658
Validation, Sensitivity, and
Model Analysis
Validation of Simulation Models
As an aid in the validation process, Naylor and
Finger formulated a three-step approach which has
been popular:
I. Build a model that has high face validity.
II. Validate m
FIN658
Behavioral Finance
Announcements
Last topic!
Grading
Remember 40% is your final project
Most teams can expect between 32-38% for a solid
project
You do not have to have a positive result to get a good
score but you must address all the areas r
FIN659
Class 3:
Successes and Failures of Stochastic Models
Today's Class
Complete Stochastic Tour
Executive summary presentation and
discussion (15min presentation, up to 30 mins
discussion)
Problems addressable with SM
Example benefits realized with SMs
FIN658
Principles of Monte Carlo I
Today's Class
Complete Stochastic Tour
Further discussion on SM successes and limitations
Executive Summary of McLish Ch. 3
Basics of Monte Carlo
Kittens and ponds, objectives, inputs, outputs, applications
Types of Mont
%CH02
Program for Chapter 2
%
% Illustrates compound interest
clf
dzero = 5;
r = 0.15;
T = 5;
m = 60;
% Compound interest rate
% 5 year period
% 60 months
for i = 1:m
% let i months elapse
tval(i) = i/12; %time in years
d(i) = dzero*(1+r*tval(i)/i)^i; %co
Control Through
Standard Costs
This chapter discusses the uses of standard costs, the advantages and disadvantages
of using standard costs, and how to compute the difference, or variance, between
an actual cost and a standard cost. We discuss how managers
Process
Cost Systems
This chapter continues the discussion of cost accumulation systems. In Chapter 2,
we explained and illustrated job costing. The job cost system (job costing)
accumulates costs incurred to produce a product according to individual jobs
Using Accounting
for Quality and
Cost Management
Importance of Good Accounting Information
Have you ever purchased a product and found it to be defective? If so, you may
have sworn to yourself that you would never buy one of those again. By doing so,
you
MARKING SCHEME BMMF5103/JULY2012/F-AA
JULY 2012
MARKING SCHEME BMMF5103 - MANAGERIAL FINANCE
Suggested Answers:
PART A
Question 1
The standard deviation of a distribution of asset returns is an absolute measure of
dispersion of risk about the mean or expe
FINC 340- QUIZ (20 points)
A-TRUE/FALSE- PLEASE ANSWER ANY 7 OF THE FOLLOWING (7 points-1 point each)
1) Investors can be confidently predict future returns on an investment by studying its past
performance. FALSE
2) Meaningful measures of an investment's
Entrepreneurship
areers in Accounting
A Managers Perspective
Ann Francis
Manager, Consumer Affairs Administration
The Coca-Cola Company
Regardless of the area of business in which they choose to make their careers, students,
especially when they reach the
Running head: PUTTING IT ALL TOGETHER
Putting It All Together
XX
FP-120
XX
XX
1
PUTTING IT ALL TOGETHER
2
Putting It All Together
How would you explain the value of financial planning to friends or family?
When explaining the value of financial planning t
Chapter 13
Enhancing Decision Making for the Digital Firm
13-1
Chapter 13
Enhancing Decision Making for the Digital Firm
True-False Questions
Senior management is concerned with general yet timely information on changes in the
industry and society at larg
HW8
1. What is the primary driving factor in firms to select domestic outsourcing firms to build
system solutions?
a. to take advantage of technical skills the firm does not have
b. to save labor costs
c. to avoid change management issues
d. all of the ab
Name: _
FIN 3508
Assignment #6
Due Thursday April 5, 2012
For problems 1 & 2 below attach your computations, and also fill in results below as well. Do
not make computations on this sheet. See CallableBondHW6.xls for Problem 3. Also
define the terms on pa
Promoter Leadership Behavioral Style
Rina Crook
MBA 600
Chaminade University of Honolulu
Abstract
Knowing our behavioral style can enhance our communication skills to be better with people in the
world around us. Clear communication is a key to success in
Rinas Interview and Analysis
Bodonirina P. Crook
Analysis Paper
MBA 600
Professor: Dr. Schroeder
MBA 600 Interview Questions
1. Tell me about your work history and career since you finished high school. What
were the most important events, and what made t
[Rinas The Keirsey Temperament Sorter] 1
Bodonirina P. Crook
Assignment: The Keirsey Temperament Sorter
Leading People in Organizations
Course number: MBA 600
Professor: Dr. Scott Schroeder
The Keirsey Temperament Sorters Questions and Personal Responses
Rinas Interview and Analysis
Bodonirina P. Crook
Analysis Paper
MBA 600
Professor: Dr. Schroeder
MBA 600 Interview Questions
1. Tell me about your work history and career since you finished high school. What
were the most important events, and what made t