January 2020
Beginner to intermediate
432 pages
11h 24m
English
Content preview from Python for Finance Cookbook
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Monte Carlo Simulations in Finance
Monte Carlo simulations are a class of computational algorithms that use repeated random sampling to solve any problems that have a probabilistic interpretation. In finance, one of the reasons they gained popularity is that they can be used to accurately estimate integrals. The main idea of Monte Carlo simulations is to produce a multitude of sample paths—possible scenarios/outcomes, often over a given period of time. The horizon is then split into a specified number of time steps and the process of doing so is called discretization. Its goal is to approximate continuous time, since the pricing of financial instruments happens in continuous time.
The results from all these simulated sample paths can be used ...
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