© The MathWorks, Inc.
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Typical uses cases of Monte carlo in
finance
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Agenda
Principles and uses cases for Monte Carlo methods
Using MATLAB toolbox for Monte Carlo simulations
Develop you own Monte Carlo engine
A quick overview of Variance reduction technics
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An simple example
Compute the area of a lake
We shot N cannon balls
n balls out of the “lake”
N- n balls in the lake
One gets
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Take outs
Results depends on :
random number generation (Mersenne Twister)
Number of simulations
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Typical uses cases of Monte carlo in
finance
Derivatives pricing
Risk
Structurer
Stochastic Asset Liability Management
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