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Monte Carlo Simulation – Currency – Example
About the course
The course consists of an EXCEL file that illustrates the simulation of prices for a commodity. The methodology followed in the file is as follows:
- Simulating commodity prices using Black Schole’s Terminal Price
- Deriving random numbers, zts, by normally scaling Excel’s RAND() function
- Generating a path of prices for 10 time steps
- Determining terminal prices for 25 different scenarios
After taking this course you will be able to:
- Build a Monte Carlo simulation model for generating commodity prices
- Simulate currency prices
The candidate should be comfortable with basic mathematics, statistics, probability and EXCEL, and have some knowledge of derivative pricing.
This course is for beginners in the finance field.