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Practical C++ Financial Programming by Carlos Oliveira

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CHAPTER 14

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Monte Carlo Methods

Among other programming techniques for equity markets, Monte Carlo simulation has a special place due to its wide applicability and relatively easy implementation compared to exact, non-stochasatic methods. These algorithms can be used in many applications such as price forecasting and the validation of certain buying strategies, for example.

In this chapter, we provide C++ programming code that can be used either directly or as part of simulation-based algorithms. These examples will introduce some of the most important concepts used in the development of stochastic methods. Following is a quick summary of topics ...

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