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2 votes

My Montecarlo Simulation is not working?

Even with 2000 simulations, you may not get the expected return and volatility as your estimated parameters. Try running your monte carlo with more simulation paths and this should close the ...
AlRacoon's user avatar
  • 6,632
2 votes

My Montecarlo Simulation is not working?

Your sigma seems to be incorrect, the sigma used should be annualized. Therefore, if you use your mean of standard deviation, you need to multiply it with $\sqrt{252}$. I do not think there is ...
KaiSqDist's user avatar
  • 1,474
1 vote

Queue Reactive Model for large spread assets

The paper has been written having "large tick assets" in mind for a direct application, nevertheless it is possible to use it with small tick assets. Come back to the spirit of the Queue ...
lehalle's user avatar
  • 12.3k
1 vote

Credit Valuation Adjustment Implementation

If you can assume that credit is independent of any other factors that drive the future MTM of the reference portfolio (which can be a single trade only), all you need to do is generate paths of ...
achirikhin's user avatar

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