Monte Carlo for newbies

[Andy Nguyen]

http://homepages.nyu.edu/~sl1544/MonteCarloNulsEn.pdf

A quick read (14 pages pdf) for the curious

 

[victorp]

Thank you. I've been looking for something like this. If you have something similar on Brownian motion, PDEs, stochastic processes, please don't hesitate to share .

 

[tikam]

hello everyone,

i am trying to simulate the path of an asset over time (let say one year) between two points using Brownian bridge (like for stress tests). I was wondering if it was possible to split the yearly simulations into twelve monthly MC simulation?
Instead of computing one final value, we get one path.
Is MC still appropriate?

 

[Abdel]

Thank you. I've been looking for something like this. If you have something similar on Brownian motion, PDEs, stochastic processes, please don't hesitate to share .

+1