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How to Generate Correlated Assets and Why?

/ Alex M / Leave a comment

As soon as you will get into pretty complex derivatives, for example, you will need to generate correlated assets for pricing purposes. Example of such derivatives can be: Basket options Rainbox options Moutain ranges (created by Société Générale) The most complex amongst these derivatives cannot be priced using closed form formulae, Monte Carlo simulations are … Continue reading How to Generate Correlated Assets and Why?

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Speed Execution Benchmark on Monte Carlo

/ Alex M / 2 Comments

Today I will try to benchmark the execution speed of several programming languages on a Monte Carlo example. This benchmark involves VBA, C++, C#, Python, Cython and Numpy vectorization. I will try to add progressively other programming languages so that this article will be more thorough. Execution environment All the chunks of code have been … Continue reading Speed Execution Benchmark on Monte Carlo