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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… Expand
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Related topics

Related topics

30 relations
Antithetic variatesBinomial options pricing modelBlack–Scholes modelBrownian motion
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Papers overview

Semantic Scholar uses AI to extract papers important to this topic.
Highly Cited
2008
Highly Cited
2008
FPGA acceleration of quasi-Monte Carlo in finance
Today, quasi-Monte Carlo (QMC) methods are widely used in finance to price derivative securities. The QMC approach is popular… Expand
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Highly Cited
2003
Highly Cited
2003
The versatility of using explanations within constraint programming
Constraint programming is a research topic benefiting from many other areas: discrete mathematics, numerical analysis, artificial… Expand
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2003
2003
Fast Monte Carlo valuation of barrier options for jump diffusion processes
We present a fast and unbiased Monte Carlo approach to pricing barrier options when the underlying security follows a simple jump… Expand
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Highly Cited
2002
Highly Cited
2002
Monte Carlo methods in finance
An invaluable resource for quantitative analysts who need to run models that assist in option pricing and risk management. This… Expand
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Highly Cited
2002
Highly Cited
2002
Monte Carlo Methods in Finance
Monte Carlo method has received significant consideration from the context of quantitative finance mainly due to its ease of… Expand
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Highly Cited
2002
Highly Cited
2002
Monte Carlo Valuation of American Options
This paper introduces a dual way to price American options, based on simulating the paths of the option payoff, and of a… Expand
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Highly Cited
2001
Highly Cited
2001
Applications of Malliavin calculus to Monte-Carlo methods in finance. II
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… Expand
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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… Expand
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Highly Cited
1999
Highly Cited
1999
Applications of Malliavin calculus to Monte Carlo methods in finance
Abstract. This paper presents an original probabilistic method for the numerical computations of Greeks (i.e. price sensitivities… Expand
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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… Expand
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