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monte sign in to follow this
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Monte Carlo-Simulation und Varianzreduction in Theorie und Praxis
Year Of Publication: 2006
Month Of Publication: January
Pages: 15
Download Count: 852
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Comment Num: 0
Language: EN
Source:
Who Can Read: Free
Date: 1-31-2006
Publisher: Administrator
Summary
The Monte Carlo simulation is described and illustrated by two examples. Then, variance reduction methods are discussed (control function, Stratified Sampling, Importance Sampling) and clarified by examples. The VaR of a "simple" Portfolio with the MC simulation is then computed. Finally the quality of the MC simulation is addressed briefly. The Spreadsheet with the numerical examples can be downloaded from http://www.actuarial files.com/de/var.d.asp.
THIS DOCUMENT IS WRITTEN IN GERMAN
Author(s)
Lister, Ralf Sign in to follow this author
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