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Monte Carlo - Inflated Asset Paths Due to Correlation

I built a MC generator for 12 assets based on Brownian Motion and noticed some strange results. Formula Used S(t) = Exp(S(t-1) + (mean - (vol. / 2)) + (stdev * Normal Distribution #)) S(0) = Ln(1) ...
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Adding Asset Weights To Cholesky Output - Monte Carlo in VBA

I am looking to create a Monte Carlo generator in Excel to plot correlated asset paths for a portfolio containing 1 to 10 assets. I have the correlation matrix for all 10 assets and have performed the ...
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51 views

correlated random variables with additional autocorrelation - multi dimensional cholesky?

for my thesis im currently generating several time series of random numbers, so far so good. Now i realized some autocorrelation in the series as well and dont really know how to cope with it. Can i ...
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353 views

Cholesky Decomposition on Correlation Matrix for Correlated Asset Paths

I found a matlab example for modelling correlated asset paths: http://www.goddardconsulting.ca/matlab-monte-carlo-assetpaths-corr.html In this model the author uses the matlab code chol() in order to ...
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Does one use the covariance or correlation matrix in cholesky decomposition to generate correlated samples

Can we interchangeably use Cholesky decomposition of covariance and correlation matrix to generate simulations? If not, in which situations do we use one or the other and why? Thanks in advance.
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344 views

Correlated Wiener processes of different factors

I'm relatively new in this field, so I have a couple of points that I need to clarify. I would like to know how I can estimate the correlation matrix necessary to implement a Cholesky decomposition ...