December 2022
Beginner to intermediate
740 pages
18h 11m
English
Content preview from Python for Finance Cookbook - Second Edition
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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 the continuous time in which the pricing of financial instruments happens.
The results from all of these simulated sample paths can be used to calculate ...
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