Methods of simulation mathematical modeling of the Russian derivatives market in modern times
Introduction. The paper is devoted to simulation modeling. Basic methods of the simulation mathematical modeling in the derivatives market are described. A group of realistic nonGaussian Levy processes that generalize the classical BlackScholes model is considered. The work objective is to study the...
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| Format: | Article |
| Language: | Russian |
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Don State Technical University
2019-12-01
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| Series: | Advanced Engineering Research |
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| Online Access: | https://www.vestnik-donstu.ru/jour/article/view/1602 |
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| author | T. A. Karpinskaya O. E. Kudryavtsev |
| author_facet | T. A. Karpinskaya O. E. Kudryavtsev |
| author_sort | T. A. Karpinskaya |
| collection | DOAJ |
| description | Introduction. The paper is devoted to simulation modeling. Basic methods of the simulation mathematical modeling in the derivatives market are described. A group of realistic nonGaussian Levy processes that generalize the classical BlackScholes model is considered. The work objective is to study the most efficient methods of market forecasting, as well as the software implementation of the simulation mathematical modeling technique of the Russian derivatives market based on the Levy model. This research is relevant due to the demand for applications that simulate the dynamics of financial assets and evaluate options in realistic models of the derivatives market, allowing for jumps.Materials and Methods. Basic methods for forecasting the derivatives market, methods for determining the volatility rate at a known option price, are considered. The most effective types of Levy processes for the simulation mathematical modeling of the Russian derivatives market at the present stage are highlighted. The possibilities of the Java language for the implementation of mathematical methods are considered.Research Results. A program is developed in the Java programming language that implements the Levy mathematical model, which includes Gaussian and generalized Poisson processes. The program for calculating the mathematical method is created in the free integrated application development environment NetBeans IDE to work with any operating system.Discussion and Conclusions. The result of the simulation mathematical modeling analysis has shown that the most efficient methods in the derivatives market are those based on realistic non-Gaussian Levy processes. The software implementation of such mathematical methods can be used for educational purposes. The developed application has demonstrated high quality and speed of calculations using software resources. |
| format | Article |
| id | doaj-art-edb77a225e2a4f5fbc33b9368ecb2aef |
| institution | Kabale University |
| issn | 2687-1653 |
| language | Russian |
| publishDate | 2019-12-01 |
| publisher | Don State Technical University |
| record_format | Article |
| series | Advanced Engineering Research |
| spelling | doaj-art-edb77a225e2a4f5fbc33b9368ecb2aef2025-08-20T03:57:12ZrusDon State Technical UniversityAdvanced Engineering Research2687-16532019-12-0119439840610.23947/1992-5980-2019-19-4-398-4061444Methods of simulation mathematical modeling of the Russian derivatives market in modern timesT. A. Karpinskaya0O. E. Kudryavtsev1Russian Customs AcademyRussian Customs AcademyIntroduction. The paper is devoted to simulation modeling. Basic methods of the simulation mathematical modeling in the derivatives market are described. A group of realistic nonGaussian Levy processes that generalize the classical BlackScholes model is considered. The work objective is to study the most efficient methods of market forecasting, as well as the software implementation of the simulation mathematical modeling technique of the Russian derivatives market based on the Levy model. This research is relevant due to the demand for applications that simulate the dynamics of financial assets and evaluate options in realistic models of the derivatives market, allowing for jumps.Materials and Methods. Basic methods for forecasting the derivatives market, methods for determining the volatility rate at a known option price, are considered. The most effective types of Levy processes for the simulation mathematical modeling of the Russian derivatives market at the present stage are highlighted. The possibilities of the Java language for the implementation of mathematical methods are considered.Research Results. A program is developed in the Java programming language that implements the Levy mathematical model, which includes Gaussian and generalized Poisson processes. The program for calculating the mathematical method is created in the free integrated application development environment NetBeans IDE to work with any operating system.Discussion and Conclusions. The result of the simulation mathematical modeling analysis has shown that the most efficient methods in the derivatives market are those based on realistic non-Gaussian Levy processes. The software implementation of such mathematical methods can be used for educational purposes. The developed application has demonstrated high quality and speed of calculations using software resources.https://www.vestnik-donstu.ru/jour/article/view/1602mathematical modeling, numerical method, volatility index, option, levy process, classical black-scholes model, derivatives market, gaussian process, generalized poisson process |
| spellingShingle | T. A. Karpinskaya O. E. Kudryavtsev Methods of simulation mathematical modeling of the Russian derivatives market in modern times Advanced Engineering Research mathematical modeling, numerical method, volatility index, option, levy process, classical black-scholes model, derivatives market, gaussian process, generalized poisson process |
| title | Methods of simulation mathematical modeling of the Russian derivatives market in modern times |
| title_full | Methods of simulation mathematical modeling of the Russian derivatives market in modern times |
| title_fullStr | Methods of simulation mathematical modeling of the Russian derivatives market in modern times |
| title_full_unstemmed | Methods of simulation mathematical modeling of the Russian derivatives market in modern times |
| title_short | Methods of simulation mathematical modeling of the Russian derivatives market in modern times |
| title_sort | methods of simulation mathematical modeling of the russian derivatives market in modern times |
| topic | mathematical modeling, numerical method, volatility index, option, levy process, classical black-scholes model, derivatives market, gaussian process, generalized poisson process |
| url | https://www.vestnik-donstu.ru/jour/article/view/1602 |
| work_keys_str_mv | AT takarpinskaya methodsofsimulationmathematicalmodelingoftherussianderivativesmarketinmoderntimes AT oekudryavtsev methodsofsimulationmathematicalmodelingoftherussianderivativesmarketinmoderntimes |