en     ru     jp
 
 
private banking
private banking
private banking
private banking
private banking
private banking
private banking
     
 
Home
      
Knowledge Base
      
Equity Derivatives and Structured Products Glossary
      
Monte Carlo Simulation
       
 
Back

Monte Carlo Simulation

 Search definitions     
  Search  

Monte Carlo Simulation
A method of determining the value of a Derivative by simulating the evolution of the Underlying variable(s) many times over. The discounted average outcome of the simulation gives an approximation of the Derivative’s value. This method may be used to value complex derivatives, particularly path-dependent options, for which closed-form solutions have not been or cannot be found. Monte Carlo simulation can also be used to estimate the Value-at-risk (VAR) of a Portfolio. In this case, a simulation of many correlated market movements is generated for the markets to which the Portfolio is exposed, and the positions in the Portfolio revalued repeatedly in accordance with the simulated scenarios. The result of this calculation Will be a probability Distribution of Portfolio gains and losses from which the VAR can be determined. The principal difficulty with Monte Carlo VAR analysis is that it can be very computationally intensive.
Posted by  Privatebanking.com
 
  Back  
  Print  
  Email  

 

private banking
private banking
private banking
private banking
private banking
private banking
private banking

Privatebanking.com
Get the attention you always wanted and promote your corporate image and standing by benefiting from our state of the art interactive web presence.
    Privatebanking.com
   
  Read more  
 
Ascent Limited
Experience The Difference. Ascent Limited provides first class wealth management and family office services. Our private banking team, assembled from a group of highly experienced banking professionals, will provide financial advice tailored to your individual requirements and keep your portfolio in tune with the latest market developments and opportunities.
    Ascent Limited
   
  Read more  
 
 
Home News Library Newsletters Event Calendar Advertise About Contact FAQ
Privacy Policy     Terms of Service
 

©