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Monte Carlo Simulations Excel

Monte Carlo Simulations in Excel

My first interaction with a Monte Carlo simulation was not a very pleasant experience.  It was a exam problem based on a difficult text book and an even more incomprehensible study note that I had hardly understood.  But over the years great teachers like Mark Broadie, friends like Carlos Desmaras and students at SP Jain and Alchemy platforms finally helped me crack the code behind Monte Carlo Simulations.

This note starts with the basic concepts and ends with some fairly complex applications of Monte Carlo Simulations tools. The interest rate modeling piece is covered with a downloadable pdf file that Mark shared with us at Columbia as part of his course on Security pricing.  Irrespective of how much I grow and write and teach it will be difficult for me to beat the simple elegance of his 10 pages on interest rate modelling.

Simulated Price Series and Profit Margins

 

 

 

 

 

 

 

 

  1. Monte-Carlo Simulation Excel– Building Equities, Commodities, Currencies and Interest Rate MC Simulators
  2. Building your first Monte Carlo (MC) simulator model for simulated equity prices in Excel
  3. Monte Carlo (MC) Simulation method: Understanding drift, diffusion and volatility drag
  4. Linking Monte Carlo Simulation, Binomial Trees and Black Scholes Equation

Simulation Interest Rates using Monte Carlo Simulation

  1. Simulating Interest Rates using trees and Monte Carlo Simulation
  2. Calibrating the Cox, Ingersoll, Ross (CIR) Interest Rate Simulator
  3. US Treasury Curve Data – Principal Component Analysis (PCA) process, data and volatility function
  4. Interest Rate Modeling: PCA analysis for HJM Interest Rate Simulation and calculating Eigenvectors


6 thoughts on “Monte Carlo Simulations Excel”

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