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Monte Carlo Simulation

Models and Applications

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Description

This guide to Monte Carlo Simulation covers:

Building Monte Carlo simulation models in EXCEL for equities, commodities and currencies
Building a hybrid Monte Carlo simulation model that uses the actual historical return distribution instead of the normal distribution assumption used in the original version
Option pricing using a Monte Carlo Simulation Model Using the MC model to explain Black Scholes risk adjusted probabilities Pricing a European Call option using an MC simulator
Convergence and Variance Reduction Techniques for option pricing models Antithetic Variable Technique Quasi Random Sequences
Further applications of Monte Carlo Simulation models Pricing exotic options  Pricing ladder options Calculating the Value at Risk measure for futures and options Monte Carlo simulation VaR using Historical Simulation Monte Carlo simulation How-to reference – Fuel Hedging problem Jet Fuel Aviation Hedging Case Study Simulating the term structure of interest rates Forecasting the monetary policy rate
Also included are:
8 instructor led videos that walk you through steps for building a Monte Carlo simulation model, and using the model to understanding the Black Scholes equation as well as price vanilla and exotic options  5 review session to test the reader’s understanding of the material

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Monte Carlo Simulation
View in iTunes
  • $27.99
  • Available on iPad, iPhone and Mac.
  • Category: Finance
  • Published: May 20, 2013
  • Publisher: Jawwad Ahmed Farid
  • Seller: Jawwad Farid
  • Print Length: 136 Pages
  • Language: English
  • Version: 1.0
  • Requirements: This book can only be viewed on an iOS device with Apple Books on iOS 12 or later, or an iPad with iBooks 2 or later and iOS 5 or later, an iPhone with iOS 8.4 or later, or a Mac with OS X 10.9 or later.

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