enow.com Web Search

Search results

  1. Results from the WOW.Com Content Network
  2. Monte Carlo methods in finance - Wikipedia

    en.wikipedia.org/wiki/Monte_Carlo_methods_in_finance

    In finance, the Monte Carlo method is used to simulate the various sources of uncertainty that affect the value of the instrument, portfolio or investment in question, and to then calculate a representative value given these possible values of the underlying inputs. [1] ("Covering all conceivable real world contingencies in proportion to their ...

  3. Monte Carlo method - Wikipedia

    en.wikipedia.org/wiki/Monte_Carlo_method

    Monte Carlo method: Pouring out a box of coins on a table, and then computing the ratio of coins that land heads versus tails is a Monte Carlo method of determining the behavior of repeated coin tosses, but it is not a simulation. Monte Carlo simulation: Drawing a large number of pseudo-random uniform variables from the interval [0,1] at one ...

  4. Monte Carlo methods for option pricing - Wikipedia

    en.wikipedia.org/wiki/Monte_Carlo_methods_for...

    Monte Carlo simulated stock price time series and random number generator (allows for choice of distribution), Steven Whitney; Discussion papers and documents. Monte Carlo Simulation, Prof. Don M. Chance, Louisiana State University; Pricing complex options using a simple Monte Carlo Simulation, Peter Fink (reprint at quantnotes.com)

  5. Datar–Mathews method for real option valuation - Wikipedia

    en.wikipedia.org/wiki/Datar–Mathews_method_for...

    The DM Method may be implemented using Monte-Carlo simulation, [7] or in a simplified algebraic or other form (see the Range Option below).. Using simulation, for each sample, the engine draws a random variable from both ~ ~, calculates their present values, and takes the difference.

  6. PyMC - Wikipedia

    en.wikipedia.org/wiki/PyMC

    PyMC (formerly known as PyMC3) is a probabilistic programming language written in Python. It can be used for Bayesian statistical modeling and probabilistic machine learning. PyMC performs inference based on advanced Markov chain Monte Carlo and/or variational fitting algorithms.

  7. Modern portfolio theory - Wikipedia

    en.wikipedia.org/wiki/Modern_portfolio_theory

    Modern portfolio theory (MPT), or mean-variance analysis, is a mathematical framework for assembling a portfolio of assets such that the expected return is maximized for a given level of risk. It is a formalization and extension of diversification in investing, the idea that owning different kinds of financial assets is less risky than owning ...

  8. Aladdin (BlackRock) - Wikipedia

    en.wikipedia.org/wiki/Aladdin_(BlackRock)

    Aladdin is based on a pool of historical data that uses Monte Carlo simulation to select large, randomly generated samples from the very large number of possible future scenarios. This generates a statistical picture of different scenarios for equities and bonds under different future conditions. A portfolio can also be subjected to a stress test.

  9. Swendsen–Wang algorithm - Wikipedia

    en.wikipedia.org/wiki/Swendsen–Wang_algorithm

    The Swendsen–Wang algorithm is the first non-local or cluster algorithm for Monte Carlo simulation for large systems near criticality.It has been introduced by Robert Swendsen and Jian-Sheng Wang in 1987 at Carnegie Mellon.