Spreadsheet "Monte Carlo Methods" (Jorion Chapter 9)

[Johnny Firpo]

Hi guys,

actually I can't find the spreadsheet "Monte Carlo Methods" refering to Jorion Chapter 9 which is mentioned in the video tutorial. Can you please provide a link to it! Especially concerning the Cholesky factorization this would be extremely useful!

Thanks in advance, very much apreciated!

 

[Johnny Firpo]

Any info concerning this matter?

Relating to this chapter: can we expect that the simulation of a price path in the exsam will be just discrete or could it be continous too?

Thanks!

 

[David Harper CFA FRM]

Hi Johnny,

Apologies (and for delay to your first request), I have not yet updated the MCS, here is the 2012 version: https://www.dropbox.com/s/n5ujw3ziq7n3cyb/T2.c 2012 XLS bundle_Rachev_MCS_v0906.xlsx
... it has a TOC with Cholesky Decompose

In regard to an MCS question, it could be continuous but the historical pattern has been to query the (more accessible?) discrete-time version. My question 323.3 directly mimics prior occurrences, such that my best guess is something like 323.3 : http://forum.bionicturtle.com/threads/p1-t2-323-monte-carlo-simulation-and-gbm-topic-review.7274/

Thanks!

 

[Johnny Firpo]

No need to apologize...quite busy at the moment I guess! Thx for your help...very usefull as usual.