Selected some of the monte carlo simulations I like and code them in this repo. My goal is to explore and build a robust knowledge of Monte Carlo simulations, especially for equity derivative pricing.
In this repo I reproduce simulations from
- Book: Monte Carlo Methods in Financial Engineering, By Paul Glasserman
- Research paper: A Simple Least-Squares Approach. By Francis A. Longstaff and Eduardo S. Schwartz
- Myself: playing around and testing stuff too