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Monte Carlo Simulation Models

Monte Carlo Simulation is a numerical method that is used in a wide range of applications in finance, space exploration, energy, engineering, etc. In finance it has been used to price complex derivatives that do not have ready closed form solutions; determine profitability distributions for various hedging strategies; simulate interest rate term structures; understand various problems being analyzed such as decoding option price sensitivities (Greeks) or the risk adjusted probabilities of the Black Scholes formula; quantify the risk of illiquid or complex financial products, etc.



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