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A Trader's Guide To Quantitative Methods (Don’t Panic ):

Monte Carlo Methods

Selected (partial) Extracts

Available at the ARTShop

(867+ colour pages, much software, e-Book &soft cover)

These links are extracts,  typically only few pages each (**).

PART I – Basic Maths


3.2	Slopes and Derivatives

3.4	Higher Order Derivatives

3.5.2	Total Derivatives

4.2.2	The “area under the curve again” – CumNorm(x) & Cos(x)

4.8.4	Example Quadrature – Digital Option

5.2.5	Example Histograms: British Petroleum – “Data Pre-Processing”

5.2.8	Example Histograms: T-Bond Implied & Historical Volatility – “Statistical Smoothening”

5.9.3	Example: Moving Correlation in Structured Products 

6.2.3 Probability Spaces & Algebras (Borel, Sigma, etc)

6.6 Multi-Dimensional Distributions

6.9.4 A 1st “Good” Shape for Uncertainty – Commodities and Skews/Jumps

6.10 Inverse Distributions

6.12 Properties and Manipulation of Distributions

6.13 Moment Generating Functions and the Characteristic Equation
These links are extracts, in PDF format, typically only few pages each.

PART II – Monte Carlo Methods

9 Monte Carlo Methods – The Basics
9.1 Monte Carlo Basics

9.2 MC Basics: Forecasting Forward Prices

10.1.2 Pay-out and Distribution

10.2 Simple MC Call Option Valuation

10.3.3 In situ – 2 (Random function + Iterator function)
10.3.4 In situ – 3 (columns vs. “looping sheet” with TG2MCX®)

10.5 MC VBA Code: Vanilla Options

11.1.5 MC Knock-Out Call: In situ Spreadsheet Implementation

11.2.4 MC Asian Options: In-situ Spreadsheet Implementation

11.2.7 MC Asian Options: Error Analyses and Usage

11.3.2 Compound Option: Call on Call Pricing Formula

11.3.4 MC Compound Options – In situ spreadsheet Implementation

11.4.4 MC American Options: VBA Code
11.4.5 MC Early Exercise: Error Analysis and Usage

12.1.2 MC Mean-Reverting Valuation: Spreadsheet Implementation

12.2.2 A 2-Factor MC Iterator

12.2.5 Convertible Bonds (2-Factor + Other Extensions)

13.2 Traditional Sensitivity Risk Measures

13.4 Monte Carlo Sensitivity-based Risk Measures

15.9 PaR Portfolio Simulation: 2 – Advanced Considerations (PaR for portfolios)

16.5.1 Computational Issues and Error Reduction



Available at the ARTShop

(867+ colour pages, much software, e-Book &soft cover)


Go to TG2 Series home

(**) In read-only PDF format, only for assessment for purchase and no other reason whatsoever and may not be distributed in any manner whatsoever.


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Last modified: July 25, 2011