Abstract. The results of analytical approximations and extensive calculations based on a path integral Monte Carlo (PIMC) scheme are presented. A new (direct) PIMC method allows fo...
V. Filinov, M. Bonitz, D. Kremp, W.-D. Kraeft, V. ...
This paper reviews the use of Monte Carlo simulation in the field of financial engineering. It focuses on several interesting topics and introduces their recent development, inc...
Monte Carlo simulation can be readily applied to asset pricing problems with multiple state variables and possible path dependencies because convergence of Monte Carlo methods is ...
What actuaries call cash flow testing is a large-scale simulation pitting a company's current policy obligation against future earnings based on interest rates. While life co...