Monte Carlo Methodology
2010
May 2010 What Is the Parent Equity Asset correlation Model?
May 2010 Random Number Generation in the ESG
Apr 2010 Put Call Parity in the ESG
Feb 2010 Low discrepancy numbers and their use within the ESG
2009
May 2009 An overview of Economic Scenario Generator models
2008
Aug 2008 Conditional Monte Carlo Allowing for Stochastic Drift in Long-term Implied Volatility Calibration
Jul 2008 Brownian Bridge: Simulating Non-Linear Stochastic Differential Equations
2005
Dec 2005 Option Pricing using Conditional Monte Carlo
Oct 2005 Optimal Use of Asset Share as a Control Variate
2000
Oct 2000 Sampling From the Gamma Distribution
1999
Jan 1999 Generation of Random Deviates from the Student t-Distribution
1998
Mar 1998 A Comparison of Pseudo-Random Number Generators
Mar 1998 Estimating Mean Square Errors Using “Bootstrapping”
1997
Oct 1997 Generation of a Poisson Random Variate
Aug 1997 Sampling from the Multivariate Normal & the Cholesky Decomposition
Jun 1997 Sampling from the Beta Distribution with Specified Mean & Variance