Tagged Questions
3
votes
1answer
85 views
Monte Carlo simulating Cox-Ingersoll-Ross process
The CIR process is given by the SDE
$$
\mathrm dr_t = \theta(\mu-r_t)\mathrm dt + \sigma\sqrt{r_t}\mathrm dW_t
$$
where $W_t$ is a Brownian motion. I am interested in finite-difference schemes of ...
6
votes
0answers
129 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
156 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 ...
