英文标题：
《Valuation Algorithms for Structural Models of Financial
Interconnectedness》
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作者：
Johannes Hain, Tom Fischer
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最新提交年份：
2015
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英文摘要：
Much research in systemic risk is focused on default contagion. While this demands an understanding of valuation, fewer articles specifically deal with the existence, the uniqueness, and the computation of equilibrium prices in structural models of interconnected financial systems. However, beyond contagion research, these topics are also essential for risk-neutral pricing. In this article, we therefore study and compare valuation algorithms in the standard model of debt and equity cross-ownership which has crystallized in the work of several authors over the past one and a half decades. Since known algorithms have potentially infinite runtime, we develop a class of new algorithms, which find exact solutions in finitely many calculation steps. A simulation study for a range of financial system designs allows us to derive conclusions about the efficiency of different numerical methods under different system parameters.
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中文摘要：
系统性风险的许多研究都集中在违约传染上。虽然这需要理解估值，但专门讨论相互关联金融系统结构模型中均衡价格的存在性、唯一性和计算的文章较少。然而，除了传染研究之外，这些主题对于风险中性定价也至关重要。因此，在这篇文章中，我们研究并比较了债务和股权交叉所有权标准模型中的估值算法，这一模型在过去15年的几位作者的工作中得到了明确体现。由于已知算法的运行时间可能是无限的，我们开发了一类新算法，这些算法在有限多个计算步骤中找到精确解。通过对一系列金融系统设计的模拟研究，我们可以得出不同系统参数下不同数值方法效率的结论。
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分类信息：

一级分类：Quantitative Finance 数量金融学
二级分类：Computational Finance 计算金融学
分类描述：Computational methods, including Monte Carlo, PDE, lattice and other numerical methods with applications to financial modeling
计算方法，包括蒙特卡罗，偏微分方程，格子和其他数值方法，并应用于金融建模
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