Tagged Questions

6
votes
0answers
120 views

Consistency of economic scenarios in nested stochastics simulation

I am interested in references on research regarding the consistency of economic scenarios in nested stochastics for risk measurement. Background: Pricing by Monte-Carlo: For pricing complex ...
5
votes
2answers
147 views

Simulation of GBM

I have a question regarding the simulation of a GBM. I have found similar questions here but nothing which takes reference to my specific problem: Given a GBM of the form $dS(t) = \mu S(t) dt + ...
8
votes
1answer
117 views

Simulating property price index

I am trying to write a Monte Carlo simulation to calculate risk associated with some property based products. What is the most reasonable stochastic process to model property price index? Do people ...