# Tag Archives: Monte Carlo simulation

## Risk Models, Option pricing & Bank Regulation training – 2013 guide

Risk Models, Option Pricing & Bank Regulation training for practitioners A typical MBA program allows a candidate to take a maximum of two Derivative pricing courses. Most candidates do a review of basic products in their core courses followed by a specialized course focused on

## Option Pricing using Monte Carlo Simulation – Pricing Exotic & Vanilla Options in Excel – Introduction

Option pricing using Monte Carlo Simulation In our post on Option Pricing using Monte Carlo Simulation, we walk through a simple modeling framework used for pricing vanilla as well as exotic options in Excel. After the framework is introduced we drop a few hints on

## Exotic derivatives & Options pricing – Pricing Chooser and Compound Options – Weekend Challenge

Exotic Derivatives & Option pricing weekend challenge This week exotic option pricing challenge focuses on chooser and compound option pricing using Monte Carlo Simulation in Excel. Hints to the solution will be posted separately within the next 12 hours. Let’s see if you can crack

## Monte Carlo Simulation how to – Linking financial model to the simulation

Monte Carlo Simulation – Linking financial model to the simulation Since we have a model for simulating oil prices, we are now ready to link our oil price model to projected financial statements for the airline. To do this we need to figure out how

## Monte Carlo Simulation – How to reference

Monte Carlo Simulation – How to reference for financial models. While we have shared a great deal about Simulation Modeling and Analysis on this blog, over the years, I felt it would help to finally have some organization around this topic. The need became more apparent

## Monte Carlo Simulation Model How to – First pass

Monte Carlo Simulation Model – How To – Simulating Crude Oil Prices To simulate crude oil prices we will follow a multi step process. We first present the input required and output produced from the simulation model and then follow with a step by step

## Monte Carlo Simulation Model – How To – Initial Ground Work

Monte Carlo Simulation Model How To Guide The Monte Carlo Simulation how to guide is a combination of session transcripts and class notes from a lecture on Monte Carlo Simulation applications. The lectures focused on building a solution for the fuel hedging problem for the

## Monte Carlo simulation methods – Tweaking the distribution

My love affair with Monte Carlo Simulation Let’s start with the honest truth. I had a torrid long distance love affair with Monte Carlo simulation over many years that ended up badly in a painful breakup. This is not going to be a neutral post.

## Understanding Black Scholes Model – An intuitive derivation of N(d2)

Black Scholes Model – An intuitive derivation of N(d2) Of all the intimidating equations and formulas (PDE’s and otherwise) out there, the derivation of the Black Scholes formula for a European option easily takes first prize for the most un-approachable of topics for new arrivals

## Dynamic Delta Hedging – Extending the Monte Carlo simulation model to Put contracts

Dynamic Delta Hedging – Monte Carlo Simulation in Excel for hedging European put contracts In our previous post on Dynamic Delta Hedging for European Call Options we built a simple simulation in model in Excel that simulated an underlying price series and a step by