Bowmain Consulting

Monte Carlo
Part of Project Denning

Denning contains a number of Monte Carlo pricers as part of this package.

Issues

This page will contain discussions on the following

  1. Convergence of Monte-Carlo methods. The Central Limit Theorem.
  2. Architecture of multi-dimensional Monte-Carlo pricer.
  3. Low dispersion random numbers.
  4. Random number generators - Pseudo random number generators, Quasi random number generators.
  5. Inverse normal distribution implementations.
  6. Non-normal distributions. Volatility smiles.

A Monte-Carlo based Credit Risk methodology is described here.

Copyright Bowmain Ltd, 2004