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| 題 名 | 抵押貸款擔保型證券訂價之高效能準蒙地卡羅探討=High Performance Quasi-Monte Carlo for the Pricing of the Collateralized Mortgage Obligations |
|---|---|
| 作 者 | 徐清郎; | 書刊名 | 德明學報 |
| 卷 期 | 19 2002.06[民91.06] |
| 頁 次 | 頁143-167 |
| 分類號 | 563.53 |
| 關鍵詞 | 抵押貸款擔保型證券; 蒙地卡羅法; 低差異序列; 平行電腦; 高效能Fortran; Collateralization mortgage obligations; Monte Carlo method; Low discrepancy sequence; Parallel computer; High performance fortran; |
| 語 文 | 中文(Chinese) |
| 中文摘要 | 本文利用低差異序列,針對資產證券化中抵押貸款擔保型證券的價格預測,進行 所謂的準蒙地卡羅估計。採用價格效能比高的高階個人電腦與開放軟體Linux作業系統,並 以100 BaseTX高速乙太網路架構,架設分散式平行電腦,利用擴充性與可攜性俱佳的高效 能Fortran語言,俾能增強抵押貸款擔保型證券訂價模型其在平行電腦上的計算效率。 |
| 英文摘要 | This paper plan to do a Quasi-Monte Carlo estimation, using low discrepancy sequence, for the price forecasting of the Collateralization Mortgage Obligations in asset securitization. We utilize cheap and high speed PCs, upgrade by open software the Linux operation system, with 100 BaseTX high speed Ethernet network, to construct distributed parallel computer. Then strengthen the computing efficiency for the pricing model of the Collateralization Mortgage Obligations, by means of the highly scalable and portable High Performance Fortran. |
本系統中英文摘要資訊取自各篇刊載內容。