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Monte Carlo methods in finance

Known as: Monte Carlo in finance, Monte Carlo valuation 
Monte Carlo methods are used in finance and mathematical finance to value and analyze (complex) instruments, portfolios and investments by simulating… 
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Related topics

Related topics

30 relations
Antithetic variatesBinomial options pricing modelBlack–Scholes modelBrownian motion

Papers overview

Semantic Scholar uses AI to extract papers important to this topic.
2016
2016
Evaluating the Informal Sector Micro, Small and Medium Enterprises Sources of Finance for Entrepreneurship Development in Ondo State
This study is charting a different approach to assessing sources of finance of micro, small, andmedium enterprises (MSMEs… 
Review
2010
Review
2010
Monte Carlo methods in finance: An introductory tutorial
  • S. Juneja
  • Proceedings of the Winter Simulation Conference
  • 2010
  • Corpus ID: 15964208
In this introductory tutorial we discuss the problem of pricing financial derivatives, the key application of Monte Carlo in… 
2010
2010
Periodic error calculation from spectrum analyzer data
Review
2006
Review
2006
The Bismut-Elworthy-Li formula for jump-diffusions and applications to Monte Carlo methods in finance
We extend the Bismut-Elworthy-Li formula to non-degenerate jump diffusions and ”payoff” functions depending on the process at… 
2006
2006
Iterating cancelable snowballs and related exotics in a many-factor Libor model
We propose a valuation method for exotic cancelable and callable structures in a multi-factor Libor model which are path… 
2005
2005
Quasi-Monte Carlo in finance: extending for problems of high effective dimension
In this paper we show that it is possible to extend the use of quasi-Monte Carlo for applications of high effective dimension… 
2004
2004
Optimal Quasi-Monte Carlo Valuation OfDerivative Securities
For manyapplicationsofcomputationalfinance,theuse ofquasirandomsequences seems to providea faster rate of convergencethan… 
2000
2000
Applications of Monte Carlo/Quasi-Monte Carlo Methods in Finance: Option Pricing
The pricing of options is a very important problem encountered in financial markets today. The famous Black-Scholes model… 
1999
1999
Convertible bond valuation: 20 out of 30 day soft-call
"Soft-call" in convertible bonds (CBs) usually means that the bond can be recalled by the issuer only if the stock price has… 
1998
1998
Applications of Monte Carlo/Quasi-Monte Carlo Methods in Finance: Option Pricing
The pricing of options is a very important problem encountered in nancial markets today. The famous Black-Scholes model provides… 
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