Introduction to the Monte Carlo Method 2019 | PRMIA - Professional Risk Managers' International Association | 20 November 2019 |
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| Event Date | Wed Nov 20 EST (about 5 years ago) |
| Region | All |
Details
An introduction to the Monte Carlo method, from first principles, through application to financial products. This webinar will also briefly describe inefficiency and implementation considerations.
The Monte Carlo method is a major tool in the computational scientist’s and financial analyst’s arsenal. In this webinar, we’ll introduce the method from first concepts as a numerical integration technique and demonstrate both the method’s utility and well-known shortcomings. Starting with a simple numerical integration example, we’ll demonstrate how the method is both highly intuitive while also highly inefficient. We’ll further demonstrate the method’s applicability to derivatives pricing and risk management, and briefly discuss techniques to address inefficiency. Finally, we’ll consider implementation details, and provide a wealth of references and topics for further study.
Speakers
2019 Speaker
Mark P. Kust, PRM
Sr. Risk Officer, World Bank Group
Sponsors & Partners
2019 Speaker
• Finastra