FIN 735: Financial Modeling

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FIN 735 Financial Modeling

• Lawrence P. Schrenk.
• Instructor

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• Quasi-Monte Carlo Simulation (QMC)

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Overview

• Traditional Monte Carlo Simulation generates
  random numbers.
• Slow convergence
• Clustering
• Quasi-Monte Carlo Simulation generates
  deterministic numbers.
• Low Discrepancy Sequences
• Well Spread Out

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QMC versus MCBi-Variate Uniform Distribution

• Two-Point MC Simulation

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QMC versus MCBi-Variate Uniform Distribution

• Two-Point MC Simulation Two-Point QMC
  Simulation

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QMC (red) versus MC (blue)Pricing a European
Call