# Questions tagged [simulations]

Reproduction of the characteristics or the outcome of a phenomenon or process using math or programming. Here limited to events related with quantitative finance as defined in the help center.

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• 11
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112 views

### Simulating the same stock price with different methods/distributions

I would like to ask if we could simulate stock price paths with different methods/techniques. What I mean is : say we have a specific stock price hence we can extract historical mean and standard ...
1 vote
118 views

### Backtesting - treatment of holidays for global (i.e. multi-market) portfolios

Assume a daily trading strategy where each day we rebalance our portfolio weights: Situation A: all constituents of our portfolio are from the same market (e.g. a portfolio of S&P 500 stocks) ...
• 133
1 vote
104 views

### How to get Risk-Neutral Drift for Trading Volume from Time Series

I am trying to price an option with Monte-Carlo simulation, where the payoff depends on some constants and a time-series (trading volume) which I model to follow a GBM. Now if I understood it ...
• 21
1 vote
120 views

### Valuing American Options using Tilley algorithm

Hey I want to implement Tilley's algorithm (Valuing American Options in a Path Simulation Model by JA Tilley, 1993) to price american options. Where can I find implementation of this method in any ...
1 vote
219 views

### Milstein scheme for Heston model - rate of convergence

Heston model is described by following SDE \begin{aligned} dS_t &= \mu S_t dt + \sqrt{\nu_t} S_t dW^S_t \\ d\nu_t &= \kappa(\theta - \nu_t) dt + \xi \sqrt{\nu_t} dW^{\nu}_t \\ ...
• 443
1 vote
59 views

### Gaussian Copulas: My Marginal Distribution Includes Negatives but My Copula is Non-Negative?

Attempting Copula in R for Stock Returns, Bond Returns, and Inflation Rates. This is my first attempt with Copulas but I have looked many places and cannot determine what I'm doing wrong. My Marginal ...
• 11
1 vote
384 views

### Simulating correlated Geometric Brownian Motion with lag

I know that it is possible to simulate two correlated GBM in e.g. Matlab (Generating Correlated Asset Paths in MATLAB) based on cholesky decomposition. However, they take as input the correlation ...
• 73
1 vote
777 views

### Source on multivariate correlated geometric Brownian motion returns, not prices

Can anyone provide a source that formulates how to generate multivariate geometric Brownian motion returns using the Cholesky method with target correlation matrix, instead of correlated GBM prices? ...
• 3,000
1 vote
39 views

### Combining multiple securities' Net Asset Value time-series into one total NAV series

I have a number of individual securities that each have a Net Asset Value (NAV) time-series. For example: ...
• 183
1 vote
79 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++ ...
• 2,476
1 vote
101 views

### CVA for a portfolio of long and short options

I am looking to estimate the CVA/DVA for a portfolio of options. For simplicity sake, let's assume there are two FX options in the portfolio, one long and one short. Both options have the same ...
1 vote
39 views

### ES using historic simulation

Why is the data obtained from 91-100 days all eliminated from the calculation of the 1-day 95% ES? My interpretation is because the first day to calculate the 95% ES should be the 90th day? But I can'...
• 171
1 vote
35 views

### Why do simulation schemes have difficulty in pricing options with low spots?

If you apply a simulation Scheme (log-Euler discretization, Euler discretization and even more advanced ones) on for instance SABR and other models, then they price a call option (where we can easy ...
• 1,667
1 vote
149 views

### Pricing call option on bond under CIR model by simulating noncentral chi square distribution

In the original paper of CIR model, there is a pricing formula about call option on bond  \begin{array}{l}{C(r, t, T ; s, K)} \\ {=P(r, t, s) \chi^{2}\left(2 r^{*}[\phi+\psi+B(T, s)] ; \frac{4 \...
1 vote
42 views

### Why no prepayment fee for the reverse mortgage?

I am currently studying the costs (to lender) of adding certain additional options to the reverse mortgage, including the option of prepayment. Would there be any scenarios of housing price/mortgage ...
• 349
1 vote
24 views

### Simulating Taxed Equity Return Series (U.S.)

I'm looking to learn how to correctly simulate taxes on dividends and capital gains on simulated return series for U.S. Equities with dividend reinvestment. I understand I will have to keep track of ...
• 1,641
1 vote
136 views

### Monte Carlo Simulation of correlated returns based on different frequencies

I am simulating through Monte Carlo, multivariate correlated returns of different products composing an Oil&Gas portfolio. The historical prices (from which I computed the log-returns) of the ...
1 vote
53 views

### Bootstrapping to Judge the Fit of a Sampled Return Distribution

Consider the following: I have sampled yearly stock returns from a specified distribution. What I want to do is compare how well my sampled distribution fits the empirical distribution of yearly ...
• 147
1 vote
292 views

### Open Source library for calculating exposures?

I would like to know an open source quantitative library/ies that can calculate exposures out of the box (I have investigated a bit on OpenGamma/Strata libraries with no luck and the website of ...
• 23
1 vote