Quasi-Monte Carlo方法及其在金融风险管理中的应用

Applications of Quasi-Monte Carlo Methods in Financial Risk Management

近年来,Quasi-Monte Carlo(QMC)方法成为国外金融风险管理研究的重要方向。选取代表性文献,综述国外QMC方法及其在金融资产定价、敏感性分析、风险价值估算等方面的主要研究成果及新进展,以推动QMC方法在我国微观金融理论与实务研究中的应用。

A number of Quasi-Monte Carlo （QMC） methods have been proposed overseas within the past decade to address problems in financial risk management. This paper reviews principles of QMC methods and introduces main achievements and some new developments of applying QMC methods in financial asset valuation, sensitivity analysis and approximation of Value-at-Risk, to facilitate relevant research in China.