Вычисление капитала оптимального портфеля с помощью комбинированного метода Монте-Карло в нелинейных моделях финансовых индексов

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