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Monte Carlo Simulation

A problem solving technique used to approximate the probability of certain outcomes by using a large number of repeated calculations, called simulations (a formal trial and error), using random variables thus creating a large number of scenarios. Monte Carlo simulation uses historical interest rate volatilities to generate the large number of interest rate paths needed to simulate (imitate) interest rate sensitivity. Monte Carlo simulation is one of the best tools to measure interest rate risk in particular for option valuation.


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Portfolio valuation and risk analytics for multi-asset derivatives and fixed income.