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Page history last edited by PBworks 15 years, 9 months ago

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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