The combined Monte-Carlo method to calculate the capital of the optimal portfolio in nonlinear models of financial indexes

摘要

The calculations in models of random processes with influenceof events are considered. The trajectories of these processes are continuousconcatenation of trajectories of diffusion processes with constant coefficients.The suggested method is the combination of the Monte-Carlo methodand exact calculation. The examples of popular models, for which investigatedmodels can be used as the approximation, are presented.