Questions tagged [simulations]

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Resources for Bayesian methods

I will be joining a risk management firm in a few months, and I was wondering if some of you could help we with resources on certain methods. Some of the things that I would be called upon to work on ...
63 views

Simulating exponential Vasicek/Ornstein-Uhlenbeck

I am trying to simulate commodity prices using the exponential Vasicek/Ornstein-Uhlenbeck model from Schwartz 1997 p. 926 Equation (1). I am using the closed form solution from Vega 2018 p. 5 Equation ...
233 views

How to interpret and define statistics of GBM output

I am trying to model the future prices of a number of commodities. For this, I am applying geometric Brownian motion, writing a Monte Carlo code in Python. Given that I want to estimate tommorows ...
41 views

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How to simulate the cross-section

I am looking to simulate the whole cross-section of daily return series for 20 to 60 days. The purpose is to test some risk measures based no maximum drawdown. Thus, it needs the whole time series. ...
36 views

Simulated VaR with differently distributed processes

I am attempting to calculate the one-month 95th and 99th percentile profits for a two-year portfolio of energy-generating assets over the next three months. This means that the calculation has two ...
3k views

Python libraries for Monte Carlo simulations?

I am learning about monte carlo simulations and I have found many blogs explaining its implementation in python. Because its a widely known and an important technique for structuring asset prices. I ...
70 views

Can a portfolio value consisting of longing a delta shares of stocks and shorting a call option greater than strike price?

While trying to implement Black-Scholes delta hedging for a European call option using Python, I came across the following phenomena: Given a portfolio consisting of longing a delta shares of ...
87 views

Is there a simplified framework to consider for modelling the stock market?

Does anyone know a reference where one can read up on different aspects of modelling when simulating the stock market? i.e what is known as "stylized facts" and which of these fact that are more ...
103 views

Which metric is most predictive: Mean, Sharpe, Calmar, …?

Suppose you have created a new trading algorithm: by varying the params of the algorithm, you get a large number of similar trading strategies (e.g. slightly different trigger thresholds, stop loss ...
61 views

Anyone got references where we can find examples of codes for agent-based simulations of financial markets?

I'm looking for references with codes for trying out simple agent-based simulations for modeling financial markets. I mostly worked with MATLAB and R, but I know a bit of python and I am learning C++ ...
20 views

Fixed rate bond historical simulation

I am using the QuantLib library to determine the historical simulation prices of a fixed rate bond. The idea behind my simulation is to use the spot curve as driver of the bond price. Let \$\{y^{j}(t)\...
65 views

Sample path simulation using two random variables

I was wondering if there is a way of generating a sample path of a Geometric Brownian Motion using two independent standard normal random variables instead of just one. The exact scheme that uses ...