Tag Archives: Monte carlo simulations

Pricing barrier options with simulations and sensitivity analysis with Greeks

Posted on July 10, 2022 by Shengyu ZHENG

Pricing barrier options with simulations and sensitivity analysis with Greeks In this article, Shengyu ZHENG (ESSEC Business School, Grande Ecole Program – Master in Management, 2020-2023) explains the pricing of barrier options with Monte-Carlo simulations and the sensitivity analysis of … Continue reading →

Posted in Contributors, Financial techniques | Tagged Barrier options, down-and-in, down-and-out, Monte carlo simulations, Option pricing, Options, R file, up-and-in, up-and-out | Leave a comment

Pricing barrier options with analytical formulas

Posted on July 10, 2022 by Shengyu ZHENG

Pricing barrier options with analytical formulas As is mentioned in the previous post, the frequency of monitoring is one of the determinants of the price of a barrier option. The higher the frequency, the more likely a barrier event would … Continue reading →

Posted in Contributors, Financial techniques | Tagged Barrier options, down-and-in, down-and-out, Monte carlo simulations, Option pricing, Options, R file, up-and-in, up-and-out | Leave a comment

Barrier options

Posted on July 6, 2022 by Shengyu ZHENG

Barrier options In this article, Shengyu ZHENG (ESSEC Business School, Grande Ecole Program – Master in Management, 2020-2023) explains barrier options which are the most traded exotic options in derivatives markets. Description Barrier options are path dependent. Their payoffs are … Continue reading →

Posted in Contributors, Financial techniques | Tagged Barrier options, down-and-in, down-and-out, Monte carlo simulations, Options, R file, up-and-in, up-and-out | 1 Comment

The Monte Carlo simulation method for VaR calculation

Posted on March 24, 2022 by Jayati WALIA

In this article, Jayati WALIA (ESSEC Business School, Grande Ecole – Master in Management, 2019-2022) explains the Monte Carlo simulation method for VaR calculation. Introduction Monte Carlo simulations are a broad class of computational algorithms that rely majorly on repeated … Continue reading →

Posted in Contributors, Financial techniques | Tagged GARCH, Monte carlo simulations, Risk management, Value at risk, VaR | Leave a comment

Monte Carlo simulation method

Posted on March 17, 2022 by Jayati WALIA

In this article, Jayati WALIA (ESSEC Business School, Grande Ecole – Master in Management, 2019-2022) explains the Monte Carlo simulation method and its applications in finance. Introduction Monte Carlo simulations are a broad class of computational algorithms that rely majorly … Continue reading →

Posted in Contributors, Financial techniques | Tagged Asset Pricing, Brownian motion, drift, GBM, Monte carlo simulations, Wiener process | Leave a comment

Quantitative risk management

Posted on September 6, 2021 by Jayati WALIA

Quantitative risk management In this article, Jayati WALIA (ESSEC Business School, Grande Ecole Program – Master in Management, 2019-2022) presents Quantitative risk management. Introduction Risk refers to the degree of uncertainty in the future value of an investment or the … Continue reading →

Posted in Contributors, Financial techniques | Tagged Credit risk, Market risk, Monte carlo simulations, Operational risk, Risk management, VaR | 3 Comments