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UBS AG
Group Market Risk/Equities Quantitative Strategies
Stanford Financial Mathematics Seminar
16 January 2004
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54
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55
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56
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100 200 300 400 500 600
-1
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0.5
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57
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100 200 300 400 500 600
-0.05
0.05
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MC-Curran A
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MC-NJ
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Error, $
58
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65
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MC-perturb 4M
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66
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100 150 200 250 300
-0.02
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MC-Curran P
MC-perturb 5M
MC-perturb 4M
MC-perturb 3M
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67
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0.001
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68
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69
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100 200 300 400 500
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0.05
0.1
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MC-Curran HEL
MC-perturb 5M
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6:
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