Monte Carlo Simulation

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Knowledge Base Articles

Part II: Asset and Liability Management Using LSMC - Accuracy and Performance

The second part of the series exploring the use of Least Squares Monte Carlo in Asset and Liability Management is focused on evaluation of accuracy and performance of this method in comparison to full nested Monte Carlo simulation benchmarks.

Implications of a joint modelling framework in dependence modelling

In this part we evaluate the framework by performing simulations and discuss the implications of utilizing a dependence model like this.

Effects of Least Squares Monte Carlo Simulation

In this article we investigate the performance of the LSMC approach on a stylised financial product.

Regression Functions in Least-Squares Monte Carlo Simulations

In this article we will introduce an efficient way of estimating and calibrating regression functions in a LSMC environment.

An Introduction to Least-Squares Monte Carlo Simulation

In this part we introduce a recognised technique for sophisticated risk modelling, Least-Squares Monte Carlo.

Blog Articles

Overcoming the Data Dilemma: How to Use Rolling Analysis for Accurate Forecasting

The insufficiency of financial data is a recurring problem with respect to estimation of statistical quantities and risk measures of historical return series. Risk managers, however, can use so-called rolling window analysis to meet this challenge.

An Introduction to Stochastic Volatility Jump Models

Stochastic Volatility Jump Diffusion (SVJD) is a type of model commonly used for equity returns that includes both stochastic volatility and jumps.