Date: Wed, 13 Sep 2006 10:51:15 -0500
From: "Ronin" 
Newsgroups: misc.invest.financial-plan
Subject: Re: complex financial problem
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	=PLTq

Thanks a ton. I will visit this forums.

beliavsky@aol.com wrote:
> Ronin wrote:
> > Im looking for a complex financial problem?
> > Description
> >
> > 1) It should be time consuming.
> > Say I submit the problem at night, the computational period on
> > Mainframe Server or any powerful machine is around 3-10+ hours.
> >
> > 2) Every Finance Manager is looking for an answer to such a problem (
> > Its a day-to-day or common problem)
>
> Pricing exotic financial derivatives can require much computing time,
> depending on the complexity of the model and the desired accuracy. The
> accuracy of Monte Carlo algorithms increases only with the square root
> of CPU time. You could read an interview of Thomas Coleman of the
> Cornell Theory Center at
> http://www.fenews.com/fen27/ColemanInterview.html and browse The
> Journal of Computational Finance at
> http://www.thejournalofcomputationalfinance.com/ .
>
> Single-period mean variance portfolio optimization in the absence of
> transaction costs, with known expected returns and covariances, runs
> very quickly on modern PCs. When
> (1) transaction costs,
> (2) taxes
> (3) multiple time periods
> (4) uncertainty about expected returns and covariances
>
> are introduced, time-consuming simulations are needed. Such problems
> are discussed in the book
>
> Financial Optimization
> by Stavros A. Zenios
> Cambridge UP (1996)
>
> Backtesting quantitative stock selection strategies on thousands of
> stocks can take hours, especially if trading can occur intraday.
>
> Probably a better forum than this one for your question is the one at
> Wilmott, http://www.wilmott.com/ .


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