Variance reduction technique for large scale risk management
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[edit] Patent Title
Variance reduction technique for large scale risk management
[edit] Patent Number
US Patent 7010510
[edit] Abstract
A control variate Monte Carlo simulation for estimating the value of a portfolio of financial instruments is provided. The control variate uses a function dependent upon two state variables, the aggregate principal and the interest rate, to simulate the aggregate value of the portfolio.
[edit] Inventors
Schellhorn; Henry (Encino, CA)
[edit] Assignee
Oracle International Corporation (Redwood Shores, CA)
[edit] Filed Date
July 12, 2000
[edit] Links
Full Patent Information [1]
