Monte Carlo simulations in the case of several risk factors: Cholesky decomposition and Copulas
This article presents the Monte Carlo method in the context of simulation of
stochastic models in nance. Our research aims to make practical use of the
main operative techniques of Monte Carlo simulation applied to nance. In
fact, for some years, nance specialists describe several phenomena and work
out computational methods using mathematical tools which are becoming in-
creasingly sophisticated. Thus, our work focuses on the problem of the options
considered the most prominent example of methods of stochastic calculus in
nance in terms of pertinence. We describe in this part how to elaborate
Monte Carlo simulations in the presence of several risk factor Y.
Keywords: Monte Carlo, Simulation, Finance, Risk Factor, Stochastic.
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ABOUT THE AUTHORS
Naima Soukher
Applied Mathematics
Boubker Daafi
Applied Mathematics
Jamal Bouyaghroumn
Applied Mathematics
Abdelwahed Namir
Applied Mathematics
Naima Soukher
Applied Mathematics
Boubker Daafi
Applied Mathematics
Jamal Bouyaghroumn
Applied Mathematics
Abdelwahed Namir
Applied Mathematics