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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
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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… 
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Highly Cited
2008
Highly Cited
2008
ADI finite difference schemes for option pricing in the Heston model with correlation
This paper deals with the numerical solution of the Heston partial differential equation that plays an important role in… 
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Review
2004
Review
2004
Quasi-Monte Carlo methods in finance
  • 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… 
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Highly Cited
2004
Highly Cited
2004
Monte Carlo Valuation of American Options through Computation of the Optimal Exercise Frontier
Abstract This paper introduces a Monte Carlo simulation method for pricing multidimensional American options based on the… 
2003
2003
Computing Deltas of Callable Libor Exotics in Forward Libor Models
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 Methods in Finance
Monte Carlo method has received significant consideration from the context of quantitative finance mainly due to its ease of… 
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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… 
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… 
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… 
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… 
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