Computational Finance: Simulating Interest Rates using trees and Monte Carlo Simulation
2 mins read Simulating Interest rates using CIR and HJM While we can club equity, commodity and currency simulators in one category, interest
Computational Finance: Linking Monte Carlo Simulation, Binomial Trees and Black Scholes Equation
2 mins read Linking Monte Carlo Simulation with Binomial Trees and the Black Scholes model A binomial tree uses the same process to
Computational Finance: Monte Carlo (MC) Simulation method: Understanding drift, diffusion and volatility drag
2 mins read We have introduced our friend mu (u) as drift and sigma as diffusion (or standard deviation or volatility or vol).
Extending MC simulation for currencies and commodities.
< 1 min read Extending MC simulation models to Currencies & Commodities Extending the original Monte Carlo (MC) Simulator for Equities to Currencies and
Computational Finance: Building your first Monte Carlo (MC) simulator model for simulated equity prices in Excel
4 mins read Here is a slightly revised model for calculating the change in price of an equity security. We now add one more component to our generator function. While the first term works off expected return the second term will help us model uncertainty. Since in our world we drive and link uncertainly with volatility, our model also uses a factor proportional to volatility.
Computational Finance: Monte-Carlo (MC) Simulation method– Building Equities, Commodities, Currencies and Interest Rate MC Simulators in Excel
4 mins read Pricing a financial instrument is not an exact science. There it is out there now; you can go ahead and