Friday 29th of March 2024
 

Monte Carlo simulations in the case of several risk factors: Cholesky decomposition and Copulas


Naima Soukher, Boubker Daafi, Jamal Bouyaghroumn and Abdelwahed Namir

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


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