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Monte Carlo for Finance
Video
by Jonathon Emerick
Tags
option valuationquantitative financesimulationyoutube playlist
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Build the foundations
Suggested foundations for monte carlo and numerical simulation. Specialist prerequisites vary by resource.
Before you read
- Laws of Large Numbers and the Central Limit Theorem
Understand convergence, sampling error and confidence intervals.
- Random Number Generation
Generate reproducible samples and distinguish randomness from model assumptions.
Go further
- Monte Carlo Option Pricing
Turn a discounted payoff into an estimator.
- Correlated Randoms and Low-Discrepancy Sequences
Study dependence and alternatives to independent sampling.
Explore a related reading path
- From martingales to option pricing
Start in discrete time, move to Brownian motion, then read the original pricing argument and simulate it.