标题: Monte Carlo Simulation [打印本页] 作者: Elliotbay 时间: 2011-7-13 15:46 标题: Monte Carlo Simulation
Can someone explain the Monte Carlo Simulation作者: Micholien 时间: 2011-7-13 15:46
A Monte Carlo simulation gives you the expected outcome of a situation. For example, let's say we want to know the expected (average) value of a dice roll. Assuming that we have no knowledge of statistics, we could just roll the dice 10000 times, record each outcome, and take the average value of each outcome. A Monte Carlo simulation carries out this procedure through a computer program.
This method is regularly applied in finance to calculate expected returns, probabilities of default, and other scenario outcomes.作者: rkapoor 时间: 2011-7-13 15:46
Just out of curiosity, Monte Carlo is just a term right? We can write any computer program that satisfy the purpose of Monte Carlo Simulation and call it a Monte Carlo Simulator?
Thanks.作者: koba 时间: 2011-7-13 15:46
Pretty much yes. I used this back during my internship at Morgan Stanley, and the massive number of trials was so PC intensive and would take so long that we could only run this overnight. We did this with portfolios of Mortgage Backed Securities and Emerging Market Bonds.
Of course, this was back in 2006, so more often than not, our portfolios would generate a positive long-term return...作者: joemoran 时间: 2011-7-13 15:46
