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… (More)
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Antithetic variatesBinomial options pricing modelBlack–Scholes modelBrownian motion
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Papers overview

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2018
2018
Monte Carlo Methods in Finance
Monte Carlo method has received significant consideration from the context of quantitative finance mainly due to its ease of… (More)
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2016
2016
Monte Carlo Methods in Finance
Monte Carlo method has received significant consideration from the context of quantitative finance mainly due to its ease of… (More)
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Review
2010
Review
2010
Monte Carlo methods in finance: An introductory tutorial
In this introductory tutorial we discuss the problem of pricing financial derivatives, the key application of Monte Carlo in… (More)
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2008
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… (More)
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2006
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 generic strong solution of an SDE with jumps . We consider the best approach in… (More)
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2006
2006
Gas Storage Valuation Using a Monte Carlo Method
Developed countries increasingly rely on gas storage for security of supply. Widespread deregulation has created markets that… (More)
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Review
2004
Review
2004
Quasi-Monte Carlo methods in finance
We review the basic principles of Quasi-Monte Carlo (QMC) methods, the randomizations that turn them into variance-reduction… (More)
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Highly Cited
2001
Highly Cited
2001
Applications of Malliavin calculus to Monte-Carlo methods in finance. II
 
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Highly Cited
1999
Highly Cited
1999
Applications of Malliavin calculus to Monte Carlo methods in finance
This paper presents an original probabilistic method for the numerical computations of Greeks (i.e. price sensitivities) in… (More)
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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… (More)
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