Articles

Monte Carlo in Esperanto

2nd April 2018 Editor 0

This article shows how a simple parser environment in Excel/VBA could be used to perform single and multi-dimensional Monte Carlo. The clsMathParser is a class for math expression evaluation in Excel/VBA. We show that a […]

Articles

Automatic Differentiation for the Greeks

16th April 2017 Editor 0

The sensitivities of the value of an option to the model parameters, a.k.a. “the Greeks,” are crucial to understanding the risk of an option position, as well as tasks such as model calibration. Outside a […]