• DocumentCode
    1915312
  • Title

    Monte Carlo methods in finance: An introductory tutorial

  • Author

    Juneja, Sandeep

  • Author_Institution
    Sch. of Technol. & Comput. Sci., Tata Inst. of Fundamental Res., Mumbai, India
  • fYear
    2010
  • fDate
    5-8 Dec. 2010
  • Firstpage
    95
  • Lastpage
    103
  • Abstract
    In this introductory tutorial we discuss the problem of pricing financial derivatives, the key application of Monte Carlo in finance. We review the mathematics that uses no-arbitrage principle to price derivatives and expresses derivatives price as an expectation under the equivalent martingale measure. In the presentation at the conference we will also elaborate on the use of Monte Carlo methods for pricing American options and in portfolio risk measurement.
  • Keywords
    Monte Carlo methods; pricing; Monte Carlo methods; equivalent martingale measurement; introductory tutorial; pricing financial derivatives; Indium tin oxide; Monte Carlo methods; Motion measurement; Portfolios; Pricing; Security; Stochastic processes;
  • fLanguage
    English
  • Publisher
    ieee
  • Conference_Titel
    Simulation Conference (WSC), Proceedings of the 2010 Winter
  • Conference_Location
    Baltimore, MD
  • ISSN
    0891-7736
  • Print_ISBN
    978-1-4244-9866-6
  • Type

    conf

  • DOI
    10.1109/WSC.2010.5679169
  • Filename
    5679169