PRODUCING HISTORICAL ILLUSTRATIONS

Brand	Owner	Address	Description
HYPO	THOMSON REUTERS (MARKETS)	195 Broadway New York NY 10007	PRODUCING HISTORICAL ILLUSTRATIONS OF THE INVESTMENT RESULTS OF MUTUAL FUNDS AND OTHER SECURITIES TO THE SPECIFICATIONS OF OTHERS;
	Where the owner name is not linked, that owner no longer owns the brand

Technical Examples

An improved method for simulating noise-varying risk factor values in a parametric simulation comprises analyzing historical data to determine the actual value of the risk factors and other attributes in the model and using this data to generate historical residual values which reproduces the historical price when used in the model with corresponding historical attribute values. The set of historical residual values is standardized and can be bootstrapped to increase the number of members in the set or vary the sets properties. Values of the historical residuals are then selected, e.g., at random, and used in place of the random noise components to produce simulated risk factor values which are used in the parametric model to simulate the evolution of the instrument price.