金融建模中的蒙特卡罗模拟

IF 1.1 4区经济学 Q3 BUSINESS, FINANCE

Journal of Portfolio Management Pub Date : 2023-07-12 DOI:10.3905/jpm.2023.1.521

K. Simsek

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引用次数: 1

摘要

资产管理中的模型需要考虑不确定性。蒙特卡罗模拟是一种流行的定量工具，它为输入变量分配随机值，以便对不确定的结果进行推断。本文解释和说明了蒙特卡罗模拟的主要特点，并举例说明了其在期权定价、投资组合保险和投资组合风险管理中的应用。

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Monte Carlo Simulation in Financial Modeling

Models in asset management require consideration of uncertainty. Monte Carlo simulation is a popular quantitative tool that assigns random values to input variables in order to draw inferences about an uncertain outcome. This article explains and illustrates the main characteristics of Monte Carlo simulation and presents examples for its application in option pricing, portfolio insurance, and portfolio risk management.

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来源期刊

Journal of Portfolio Management Economics, Econometrics and Finance-Finance

CiteScore

2.20

自引率

28.60%

发文量

113

期刊介绍： Founded by Peter Bernstein in 1974, The Journal of Portfolio Management (JPM) is the definitive source of thought-provoking analysis and practical techniques in institutional investing. It offers cutting-edge research on asset allocation, performance measurement, market trends, risk management, portfolio optimization, and more. Each quarterly issue of JPM features articles by the most renowned researchers and practitioners—including Nobel laureates—whose works define modern portfolio theory.