TY - GEN
T1 - Parallel numerical simulation of strategic bankruptcy
AU - Cai, Yu
AU - Qi, Howard
PY - 2008
Y1 - 2008
N2 - In this paper, we extend the strategic default bankruptcy model to predict risky premium on defaultable bonds in a more realistic economic environment. By considering interest rates, taxes and the voltality of business operations, the model becomes considerably complicated, which imposes significant challenges on the mathematical framework as well as the computation power required in simulating the stochastic process. Since it is hard to obtain a closed form analytical solution for the framework, numerical simulation is an alternative. We present a dynamic block allocation algorithm for parallel Quasi-Monte Carlo(QMC) simulation. The convergence speed of the model is also studied. Simulation results show that our model can be used to estimate risk and risk premium in financial economics.
AB - In this paper, we extend the strategic default bankruptcy model to predict risky premium on defaultable bonds in a more realistic economic environment. By considering interest rates, taxes and the voltality of business operations, the model becomes considerably complicated, which imposes significant challenges on the mathematical framework as well as the computation power required in simulating the stochastic process. Since it is hard to obtain a closed form analytical solution for the framework, numerical simulation is an alternative. We present a dynamic block allocation algorithm for parallel Quasi-Monte Carlo(QMC) simulation. The convergence speed of the model is also studied. Simulation results show that our model can be used to estimate risk and risk premium in financial economics.
UR - http://www.scopus.com/inward/record.url?scp=51049103634&partnerID=8YFLogxK
UR - http://www.scopus.com/inward/citedby.url?scp=51049103634&partnerID=8YFLogxK
U2 - 10.1109/IPDPS.2008.4536456
DO - 10.1109/IPDPS.2008.4536456
M3 - Conference contribution
AN - SCOPUS:51049103634
SN - 9781424416943
T3 - IPDPS Miami 2008 - Proceedings of the 22nd IEEE International Parallel and Distributed Processing Symposium, Program and CD-ROM
BT - IPDPS Miami 2008 - Proceedings of the 22nd IEEE International Parallel and Distributed Processing Symposium, Program and CD-ROM
T2 - IPDPS 2008 - 22nd IEEE International Parallel and Distributed Processing Symposium
Y2 - 14 April 2008 through 18 April 2008
ER -