Monte-Carlo Simulation

Summary of topic

This page provides links to useful information on monte-carlo simulation and related issues.

Those working on the topic

Declan Lavelle - declanlavelle@hld.ie

Getting Started

This link provides some useful background on the Monte-Carlo Framework, providing examples from Finance and Generating Correlated Random Variables.

As an alternative to simulation, this paper discusses some approximations to the sums of non-independent lognormal random variables. The 'maximal variance' lowerbound approach discussed in section 2.2 is implemented as part of this spreadsheet

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