Sunday, November 24, 2013

Monte Carlo Simulation and Volatility Modeling


Monte Carlo:

http://investexcel.net/jump-diffusion/
http://vbadeveloper.net/blackscholesvbafxoptionpricermontecarlosimulation.pdf
http://www.riskamp.com/how-to/
http://www.freelancer.com/projects/PHP-C-Programming/Correlating-Inputs-Monte-Carlo.html
http://forum.chandoo.org/threads/xl-vba-monte-carlo-sim-code-for-company-valuation.13151/

Option Pricing Models and Volatility Using Excel-VBA: Finance Series, Book 361 (Wiley Finance) [Kindle Edition]
http://www.vosesoftware.com/


Companies selling addin in Monte Carlo:
www.riskamp.com
www.vosesoftware.com
www.palisade.com
http://www3.wabash.edu/econometrics/EconometricsBook/Basic%20Tools/ExcelAddIns/MCSim.htm
www.solver.com/Monte-Carlo
www.lumenaut.com
http://www.montecarlito.com/

Addin stocatic models: 5
distributions: normal / lognormal
Correlated residuals


Study DB papers again
Applying Systematic & Rule Based Risk Management for Portfolio Market Risk (Passive Investment)
Dynamics during Crisis Periods: stress testing for the profolio, and testing if premonition works
VAR is greater than VAr avetga with a multiplier then take edge
monte carlo in MATLAB engine building and stocastic engine
Equity Global and cost of hedge
how to project volatility?
costs of put

Project bond? use Merton model for the sam prices
use three regimes for MC setup (something like secots data)

yahoo MATLAB integration


Volatility modeling MATLAB stochastic models:
http://people.anu.edu.au/joshua.chan/code.html
http://www.mathworks.com/help/econ/heston.html
http://www.mathworks.com/products/econometrics/description8.html
http://www.math.umn.edu/~bemis/pide/pide_matlab.html


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