[Company Logo Image]   

We are traders

Arbitrage Research and Trading

 Home News Products Services Research Jobs Forum TG2QM MC Software

 

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

Monte Carlo Methods

Accompanying Software

Available at the ARTShop

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

 

The TG2QM:Monte Carlo Methods book has (very considerable) accompanying software, source code, and related materials downloadable by registered owners. 

 

Table of Contents

 

1.0 Spreadsheets

 

  Table of Contents of this Workbook                  
  Chapter/Sheet   Relevance                
1 Read Me 1st .. or else - this sheet                
2 C2 - Slopes etc   - bond and option hedging              
3 C3 - Quadrature Dig Option - option valuation                
4 C4 - BP Histogram Diffs - statistical characterisation of market processes          
5 C4 - Hist vs Moments - histogram vs summary measure methods            
6 C4 - Wgtd Stats                      
7 C5 - 2-D Normal CDF                      
8 C9 - XL In Situ MC                      
9 C9 - XL In Situ-Func MC                    
10 C9 - Simple MC Opt VBA                    
11 C9 - MC Call MCX   - MCX®                  
12 C9 - @Risk MC Opt   - @Risk®                  
13 C10 - Simple MC Barrier                    
14 C10 - Simple MC Asian - more Asian options in Sheet 26: "Control Variate" examples        
15 C10 - Simple MC Compound                    
16 C10 - MC American VBA and DLL - includes both VBA and DLL linked functions showing both early exercise and calculation speed issues.
17 C11 - MC EofA VBA (2-fact)                    
18 C11 - MC Forward MCX - MCX®                  
19 C11 - MC MR Forward MCX - MCX®                  
20 C11 - MC 2-fact Forward MCX - MCX®                  
21 C12 - MC Greeks                      
22 C12 - MCVaR 2-fact                      
23 C13 - BS Plain Dlta PaR MCX - MCX®                  
24 C15 - Random Nums                      
25 C15 - MC OptAntithetic - includes static/partial convergence/error analysis.          
26 C15 - MC AsianControlVariate - includes dynamic/partial  convergence/error analysis.          
27 C16 - Basic Tree   - forward/backward induction for European & American options        
28 C16 - Explicit FD   - option pricing with Finite Difference example.          
29 TG2MCX SampleLookUpStats - illustration of "lookup" function for TG2MCX® Summary Statistics      
30 t4     - hidden sheet: stores histogram bin values and counts, summary/cumulative counts,    
          and basic statistics for each forward date in an MCX simulation        
          You may un-hide this sheet and examine it, but altering can cause MANY THINGS to BREAK  
         
There is also      
         
PrrOXL-Lite_Educational.xla PaR Addin  
         
MC basic dlls.dll HGL MC Addin  
         
. ... plus User's Guides  
         

 

2.0 VBA Source Code (Custom functions)

Function DSINH
Function DCOSH
Function TG2_AJM_EWMA_Initialize
Function TG2_AJM_EWMA_UpDate
Function TG2_AJM_EWMA_Variance
Function TG2_MC_SimpleCall1
Function TG2_Box_Muller1
Function TG2_MC_XOpt_SimpleKO1
Function TG2_DensityLogNorm_MV_T1
Function TG2_DensityBiNorm
Function TG2_CumBiNorm
Function TG2_NormBV
Function TG2_CumNorm
Function TG2_FCumNorm
Function DensityNorm_01
Function TG2BlackScholes
Function TG2BlackScholesResNames
Function TG2_MC_Iterator1

Function TG2QM_MC_LCG1
Function TG2QM_MC_RunningAve
Function TG2QM_MC_SimpleOption
Function TG2QM_MC_SimpleOptionAntithetic
Function TG2QM_MC_XOpt_SimpleKI1
Function TG2QM_MC_XOpt_SimpleAsian1
Function TG2QM_MC_XOpt_SimpleAsianGeom_BR1
Function TG2QM_MC_XOpt_SimpleAsian1ContVar
Function TG2QM_MC_XOpt_SimpleAsianGeom1
Function TG2QM_MC_XOpt_SimpleCompound1
Function TG2QM_MC_Iterator1_2Fact
Function TG2QM_MC_XOpt_SimpleAmer1
Function TG2QM_MC_XOpt_Simple2FactExchange1
Function TG2QM_MC_IteratorMeanRev1
Function TG2QM_NSWC_UniformRand


      

 

Tell a Friend

 

 Hit Counter

Home Up Feedback Search Investor Login Company Profile

Send mail to webmaster@arbitrage-trading.com with questions or comments about this web site.
Copyright © Arbitrage Research and Trading Ltd.

The contents of this web are presented by ART for viewing purposes only, and ART makes no warranties as to accuracy.

Last modified: July 25, 2011