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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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Papers overview

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2016
2016
This study is charting a different approach to assessing sources of finance of micro, small, andmedium enterprises (MSMEs… 
Review
2010
Review
2010
  • S. Juneja
  • 2010
  • Corpus ID: 15964208
In this introductory tutorial we discuss the problem of pricing financial derivatives, the key application of Monte Carlo in… 
Review
2006
Review
2006
We extend the Bismut-Elworthy-Li formula to non-degenerate jump diffusions and ”payoff” functions depending on the process at… 
2006
2006
We propose a valuation method for exotic cancelable and callable structures in a multi-factor Libor model which are path… 
2005
2005
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
For manyapplicationsofcomputationalfinance,theuse ofquasirandomsequences seems to providea faster rate of convergencethan… 
2000
2000
The pricing of options is a very important problem encountered in financial markets today. The famous Black-Scholes model… 
1999
1999
"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
The pricing of options is a very important problem encountered in nancial markets today. The famous Black-Scholes model provides…