Thursday, July 13, 2006

Week 17...

So there is a method to the madness. The idea of Monte Carlo simulation for pricing derivatives is well known, but even more fascinating are the mathematical constructs to speed up the process. The basic normal random number generators cluster the points in space, but quasi-random sequences (QRS) and stratification techniques help make the process more efficient. An excellent online java applet to visualize this is given here.

Week 17 - credit final .. and paper was due.

Monte Carlo using Stratification Posted by Picasa


Blogger Matt said...

Hi Swaroop,

I read up on Aloke's blog and have spoken to him also. I noticed your post Derman below, and our firm was actually named way back in the day in his book.

MM (

1:12 PM, July 13, 2006  
Blogger Matt said...

edit: "on Derman's blog below"...

1:13 PM, July 13, 2006  
Blogger Quantjock said...

thanks.. I just saw your blog.. pretty cool

9:28 AM, July 14, 2006  
Blogger Arun Kumaran said...

gr8 arun frm a final yr BE student who wanst to seek his future in fin...pls give me ur email id...
mine is
arunkumaran at rediffmail dot com

1:13 AM, July 15, 2006  

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