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Monte Carlo methods are used in corporate finance and mathematical finance to value and analyze (complex) instruments, portfolios and investments by simulating the various sources of uncertainty affecting their value, and then determining the distribution of their value over the range of resultant outcomes.
Monte Carlo simulation: Drawing a large number of pseudo-random uniform variables from the interval [0,1] at one time, or once at many different times, and assigning values less than or equal to 0.50 as heads and greater than 0.50 as tails, is a Monte Carlo simulation of the behavior of repeatedly tossing a coin.
Monte Carlo:methodologies and applications for pricing and risk management. Risk. Paul Glasserman (2003). Monte Carlo methods in financial engineering. Springer-Verlag. ISBN 978-0-387-00451-8. Peter Jaeckel (2002). Monte Carlo methods in finance. John Wiley and Sons. ISBN 978-0-471-49741-7. Don L. McLeish (2005). Monte Carlo Simulation & Finance.
The economics-based approach is put into action via MaxiFi’s dynamic “Living Standard Monte Carlo” risk analysis, included with the premium-tier subscription, which costs an additional $40 a ...
Monte Carlo method – Also used to solve partial differential equations, but Monte Carlo simulation is also common in risk management; Ordinary least squares – used to estimate parameters in statistical regression analysis; Spline interpolation – used to interpolate values from spot and forward interest rates curves, and volatility smiles;
Review of Financial Studies 2.2 (1989): 241–250. Boyle, Phelim P., and Ton Vorst. "Option replication in discrete time with transaction costs". The Journal of Finance 47.1 (1992): 271–293. Boyle, Phelim, Mark Broadie, and Paul Glasserman. "Monte Carlo methods for security pricing". Journal of economic dynamics and control 21.8 (1997): 1267 ...