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TG2QM MC Software


A Trader's Guide To Quantitative Methods (Don’t Panic ):

Monte Carlo Methods

Accompanying Software

Available at the ARTShop

(867+ colour pages, much software, e-Book &soft cover)

 

The TG2QM:Monte Carlo Methods book has (very considerable) accompanying software, source code, and related materials downloadable by registered owners. 

 

Table of Contents

 

1.0 Spreadsheets

 

  Table of Contents of this Workbook                  
  Chapter/Sheet   Relevance                
1 Read Me 1st .. or else - this sheet                
2 C2 - Slopes etc   - bond and option hedging              
3 C3 - Quadrature Dig Option - option valuation                
4 C4 - BP Histogram Diffs - statistical characterisation of market processes          
5 C4 - Hist vs Moments - histogram vs summary measure methods            
6 C4 - Wgtd Stats                      
7 C5 - 2-D Normal CDF                      
8 C9 - XL In Situ MC                      
9 C9 - XL In Situ-Func MC                    
10 C9 - Simple MC Opt VBA                    
11 C9 - MC Call MCX   - MCX®                  
12 C9 - @Risk MC Opt   - @Risk®                  
13 C10 - Simple MC Barrier                    
14 C10 - Simple MC Asian - more Asian options in Sheet 26: "Control Variate" examples        
15 C10 - Simple MC Compound                    
16 C10 - MC American VBA and DLL - includes both VBA and DLL linked functions showing both early exercise and calculation speed issues.
17 C11 - MC EofA VBA (2-fact)                    
18 C11 - MC Forward MCX - MCX®                  
19 C11 - MC MR Forward MCX - MCX®                  
20 C11 - MC 2-fact Forward MCX - MCX®                  
21 C12 - MC Greeks                      
22 C12 - MCVaR 2-fact                      
23 C13 - BS Plain Dlta PaR MCX - MCX®                  
24 C15 - Random Nums                      
25 C15 - MC OptAntithetic - includes static/partial convergence/error analysis.          
26 C15 - MC AsianControlVariate - includes dynamic/partial  convergence/error analysis.          
27 C16 - Basic Tree   - forward/backward induction for European & American options        
28 C16 - Explicit FD   - option pricing with Finite Difference example.          
29 TG2MCX SampleLookUpStats - illustration of "lookup" function for TG2MCX® Summary Statistics      
30 t4