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SimulationResource

Page history last edited by PBworks 14 years, 4 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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