The development of a real-time valuation service of financial derivatives

Hsin Tsung Peng*, Chi Fang Chang, Szu Lang Liao, Ming-Yang Kao, Feipei Lai, Jan Ming Ho

*Corresponding author for this work

Research output: Chapter in Book/Report/Conference proceedingConference contribution

3 Citations (Scopus)

Abstract

Financial derivative valuation is the key of the adoption of the International Financial Reporting Standards (IFRS), which are based on fair value accounting. When the derivatives do not have an active market, the inputs and methods for estimating their fair value will be more subjective and, the derivative valuation will be less reliable. The goal of this research is to design a derivative valuation service to aid the accounting professionals to meet the reliability requirement of the IFRS which, in the derivative setting, requires derivative valuation be objective and free from errors. First, we incorporate the various valuation models and their risk factors into the service as the basis for providing an objective valuation result. Second, we provide a user interface to simplified management of parameters and provisions of term sheets of derivatives to avoid users' errors in parsing the term sheets. Third, when the users hold a large number of derivatives, the derivative valuation meets real-time constraints in financial reporting. We thus developed the service in parallel computing environment to reduce computational time of the valuation process. Experiment cal results of derivative valuation are also presented.

Original languageEnglish (US)
Title of host publication2012 IEEE Conference on Computational Intelligence for Financial Engineering and Economics, CIFEr 2012 - Proceedings
Pages228-235
Number of pages8
DOIs
StatePublished - Nov 27 2012
Event2012 IEEE Conference on Computational Intelligence for Financial Engineering and Economics, CIFEr 2012 - New York City, NY, United States
Duration: Mar 29 2012Mar 30 2012

Other

Other2012 IEEE Conference on Computational Intelligence for Financial Engineering and Economics, CIFEr 2012
CountryUnited States
CityNew York City, NY
Period3/29/123/30/12

Fingerprint

Derivatives
Financial derivatives
Parallel processing systems
User interfaces
Experiments

ASJC Scopus subject areas

  • Artificial Intelligence
  • Finance

Cite this

Peng, H. T., Chang, C. F., Liao, S. L., Kao, M-Y., Lai, F., & Ho, J. M. (2012). The development of a real-time valuation service of financial derivatives. In 2012 IEEE Conference on Computational Intelligence for Financial Engineering and Economics, CIFEr 2012 - Proceedings (pp. 228-235). [6327796] https://doi.org/10.1109/CIFEr.2012.6327796
Peng, Hsin Tsung ; Chang, Chi Fang ; Liao, Szu Lang ; Kao, Ming-Yang ; Lai, Feipei ; Ho, Jan Ming. / The development of a real-time valuation service of financial derivatives. 2012 IEEE Conference on Computational Intelligence for Financial Engineering and Economics, CIFEr 2012 - Proceedings. 2012. pp. 228-235
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Peng, HT, Chang, CF, Liao, SL, Kao, M-Y, Lai, F & Ho, JM 2012, The development of a real-time valuation service of financial derivatives. in 2012 IEEE Conference on Computational Intelligence for Financial Engineering and Economics, CIFEr 2012 - Proceedings., 6327796, pp. 228-235, 2012 IEEE Conference on Computational Intelligence for Financial Engineering and Economics, CIFEr 2012, New York City, NY, United States, 3/29/12. https://doi.org/10.1109/CIFEr.2012.6327796

The development of a real-time valuation service of financial derivatives. / Peng, Hsin Tsung; Chang, Chi Fang; Liao, Szu Lang; Kao, Ming-Yang; Lai, Feipei; Ho, Jan Ming.

2012 IEEE Conference on Computational Intelligence for Financial Engineering and Economics, CIFEr 2012 - Proceedings. 2012. p. 228-235 6327796.

Research output: Chapter in Book/Report/Conference proceedingConference contribution

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Peng HT, Chang CF, Liao SL, Kao M-Y, Lai F, Ho JM. The development of a real-time valuation service of financial derivatives. In 2012 IEEE Conference on Computational Intelligence for Financial Engineering and Economics, CIFEr 2012 - Proceedings. 2012. p. 228-235. 6327796 https://doi.org/10.1109/CIFEr.2012.6327796