Monte Carlo

Some of the folks on “Quant Finance” linked-in group asked me to share the Monte-Carlo simulation model that I have developed.

Click here to download the excel model. (Note you might have to scroll down to see the download link)

Basically, in this excel model, I first start with min and max for uncertain parameters and simulate 5000 scenarios within the min/max range.  I am trying to see how “profit” will vary under this scenarios.  Later, I construct a histogram to see profit distribution and then do some statistical analysis of this distribution.

Note, the input uncertain parameters have random distribution in the excel model, but that might not be necessarily the case in real-world.

Advertisements

Leave a Reply

Fill in your details below or click an icon to log in:

WordPress.com Logo

You are commenting using your WordPress.com account. Log Out / Change )

Twitter picture

You are commenting using your Twitter account. Log Out / Change )

Facebook photo

You are commenting using your Facebook account. Log Out / Change )

Google+ photo

You are commenting using your Google+ account. Log Out / Change )

Connecting to %s