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.

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