Multivariate Monte Carlo simulation: correlated variables (Excel)

Описание к видео Multivariate Monte Carlo simulation: correlated variables (Excel)

How one can perform a Monte Carlo simulation for several correlated variables at once? This is often required for many quantitative finance applications such as basket option valuation, credit default swaps pricing, or value-at-risk estimation. Today we are investigating this technique using a Cholesky decomposition in Excel.

Don't forget to subscribe to NEDL and give this video a thumbs up for more videos in Risk management!

Please consider supporting NEDL on Patreon:   / nedleducation  

Комментарии

Информация по комментариям в разработке

Похожие видео