moontowerquant
About Me
Subscribe
Quant Codex/
📚
Options Starter Pack
/
🎲
Monte Carlo In Excel
🎲

Monte Carlo In Excel

 
Overview and Introduction
 
1. Monte Carlo simulation. First steps and lessons.
  • Monte-Carlo Simulation Excel– Building Equities, Commodities, Currencies and Interest Rate MC Simulators
  • Building your first Monte Carlo (MC) simulator model for simulated equity prices in Excel
  • Monte Carlo (MC) Simulation method: Understanding drift, diffusion and volatility drag
  • Linking Monte Carlo Simulation, Binomial Trees and Black Scholes Equation
  • Option Pricing using Monte Carlo Simulation – Model Review
  • Option Pricing – Pricing Ladder Options using Monte Carlo Simulators in Excel
  • Linking a financial model to your Monte Carlo Simulation
  • Building Financial Models
 
2. Simulating Interest Rates using Monte Carlo Simulation Excel
  • Simulating Interest Rates using trees and Monte Carlo Simulation
  • Calibrating the Cox, Ingersoll, Ross (CIR) Interest Rate Simulator
  • US Treasury Curve Data – Principal Component Analysis (PCA) process, data and volatility function
  • Interest Rate Modeling: PCA analysis for HJM Interest Rate Simulation and calculating Eigenvectors
Â