Monte Carlo method: Difference between revisions

 

[[Monte Carlo methods in finance]] are often used to [[Corporate finance#Quantifying uncertainty|evaluate investments in projects]] at a business unit or corporate level, or other financial valuations. They can be used to model [[project management|project schedules]], where simulations aggregate estimates for worst-case, best-case, and most likely durations for each task to determine outcomes for the overall project.[https://risk.octigo.pl/] Monte Carlo methods are also used in option pricing, default risk analysis.<ref>{{cite book|chapter=An Introduction to Particle Methods with Financial Applications |publisher=Springer Berlin Heidelberg |journal=Numerical Methods in Finance |date=2012 |isbn=978-3-642-25745-2 |pages=3–49 |series=Springer Proceedings in Mathematics |volume=12 |author-first1=René |author-last1=Carmona |author-first2=Pierre |author-last2=Del Moral |author-first3=Peng |author-last3=Hu |author-first4=Nadia |author-last4=Oudjane |editor-first1=René A. |editor-last1=Carmona |editor-first2= Pierre Del |editor-last2=Moral |editor-first3=Peng |editor-last3=Hu |editor-first4=Nadia |display-editors=3 |editor-last4=Oudjane |doi=10.1007/978-3-642-25746-9_1 |citeseerx=10.1.1.359.7957}}</ref><ref>{{cite book |volume=12 |doi=10.1007/978-3-642-25746-9 |series=Springer Proceedings in Mathematics |year=2012 |isbn=978-3-642-25745-2 |url=https://basepub.dauphine.fr/handle/123456789/11498 |title=Numerical Methods in Finance |author-last1=Carmona |author-first1=René |author-last2=Del Moral |author-first2=Pierre |author-last3=Hu |author-first3=Peng |author-last4=Oudjane |author-first4=Nadia}}</ref><ref name="kr11">{{cite book|author-last1=Kroese |author-first1=D. P. |author-last2=Taimre |author-first2=T. |author-last3=Botev |author-first3=Z. I. |title=Handbook of Monte Carlo Methods |year=2011 |publisher=John Wiley & Sons}}</ref> Additionally, they can be used to estimate the financial impact of medical interventions.<ref>{{cite journal |doi=10.1371/journal.pone.0189718 |pmid=29284026 |pmc=5746244 |title=A Monte Carlo simulation approach for estimating the health and economic impact of interventions provided at a student-run clinic |journal=[[PLOS ONE]] |volume=12 |issue=12 |pages=e0189718 |year=2017 |author-last1=Arenas |author-first1=Daniel J. |author-last2=Lett |author-first2=Lanair A. |author-last3=Klusaritz |author-first3=Heather |author-last4=Teitelman |author-first4=Anne M. |bibcode=2017PLoSO..1289718A |doi-access=free}}</ref>

 

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