A0923
Title: Monte Carlo simulation and its applications
Authors: Yu-Ying Tzeng - National Chengchi University (Taiwan) [presenting]
Abstract: Monte Carlo simulation methods are widely used in finance such as pricing an option on equity, valuing interest rate derivatives and evaluating portfolios because this method can work well as the dimension increases. However, Monte Carlo simulation can be improved in two ways: quasi-Monte Carlo can improve the accuracy; Markov chain Monte Carlo can improve the applicability from a lower dimension to a higher dimension or complicated distribution. Hence, we can combine these two methods for risk measures.
