Monte Carlo

Monte Carlo is a name given to numerical methods that involve random number generation. Such numerical methods are used to solve many problems in mathematics, finance and computing. For example, simulation of a random walk is based on some Monte Carlo algorithm. Also, sampling from a subset of a large data set in order to deduce the data set properties is another application of Monte Carlo. In my Monte Carlo posts I will cover random number generation techniques, simulation of price paths of financial assets and other interesting topics.

Leave a Reply

Fill in your details below or click an icon to log in: Logo

You are commenting using your account. Log Out /  Change )

Facebook photo

You are commenting using your Facebook account. Log Out /  Change )

Connecting to %s