# Questions tagged [simulations]

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### Stochastic Vol simulation - Quant job interview question

this is a question from a quant interview (FO quant for IR Exotics for a big 4). First it might be useful when preparing your interviews, second, any brainstorming will be appreciated. Note that no ...
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For an exercise I am asked to calculate an integral with a monte carlo simulation, after that I need to optimize the results with a control variate. This was the given integral: $\int_0^1 \! \frac{\... 0answers 119 views ### Generating financial data I am trying to generate monthly stock data using a one-factor model: $$R_{a,t} = \alpha + BR_{b,t}+\epsilon_{t}$$ The description says:$R_{a,t}$is the excess asset returns vector,$\alpha$is the ... 0answers 113 views ### Review of Excel Stock Simulator I am currently a senior in high school and I built a stock simulator using knowledge gained from a semester of AP Statistics. I was wondering if someone could tell me if my simulation is legit/... 0answers 120 views ### Order 1.5 strong SDE integration methods for systems with diagonal additive noise I'm looking into simple-to-implement and efficient order 1.5 strong SDE integration schemes for my system. My noise is diagonal and additive (possibly time-varying). Thus methods designed for either ... 0answers 40 views ### Real Option Valuation using simulation: real world vs risk neutral measure I am trying to value a real option in the form of a software investment using a simulation. The software investment yields to daily revenues$R_t$and costs$C_t$. Here are the formulas for these:$$... 0answers 50 views ### Modeling electricity prices ($/kWh) for Simulation

I want to run a Simulation in Matlab that involves the running costs of an electronic device which consists of the power consumption of this said device. The simulation should run for the next 1-5 ...
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### Does my Python code correctly simulate realizations of a CIR process?

I've written the following function which should simulate realizations of a CIR process: ...