Skip to search formSkip to main contentSkip to account menu
You are currently offline. Some features of the site may not work correctly.

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… 
Wikipedia

Papers overview

Semantic Scholar uses AI to extract papers important to this topic.
Highly Cited
2008
Highly Cited
2008
Today, quasi-Monte Carlo (QMC) methods are widely used in finance to price derivative securities. The QMC approach is popular… 
  • figure 1
  • figure 2
  • figure 3
  • figure 4
  • figure 6
Highly Cited
2008
Highly Cited
2008
This paper deals with the numerical solution of the Heston partial differential equation that plays an important role in… 
  • figure 1
  • table 1
  • figure 2
  • figure 3
  • figure 4
Review
2004
Review
2004
  • P. L'Ecuyer
  • Proceedings of the Winter Simulation Conference…
  • 2004
  • Corpus ID: 2244314
We review the basic principles of quasi-Monte Carlo (QMC) methods, the randomizations that turn them into variance-reduction… 
  • table 2
  • table 1
  • table 3
  • table 4
  • table 6
Highly Cited
2004
Highly Cited
2004
Abstract This paper introduces a Monte Carlo simulation method for pricing multidimensional American options based on the… 
2003
2003
Callable Libor exotics is a class of single-currency interest-rate contracts that are Bermuda-style exercisable into underlying… 
Highly Cited
2002
Highly Cited
2002
Monte Carlo method has received significant consideration from the context of quantitative finance mainly due to its ease of… 
  • table 2.1
  • table 2.2
  • table 2.3
Highly Cited
2002
Highly Cited
2002
An invaluable resource for quantitative analysts who need to run models that assist in option pricing and risk management. This… 
Highly Cited
2001
Highly Cited
2001
Abstract. This paper is the sequel of Part I [1], where we showed how to use the so-called Malliavin calculus in order to devise… 
2000
2000
The pricing of options is a very important problem encountered in financial markets today. The famous Black-Scholes model… 
Highly Cited
1999
Highly Cited
1999
Abstract. This paper presents an original probabilistic method for the numerical computations of Greeks (i.e. price sensitivities… 
  • figure 1
  • figure 2
  • figure 3
  • figure 4
  • figure 5