<t>DCFC, that was comprehensive and really helpful advice! I am trying to set up a similar database like what Pusher is trying to achieve, but entirely on Access (although it's not exactly the optimal way forward to establish a sound database). One of my objectives is to save on dealing slips (and s...

<t>Hi all,Hope you won't mind my asking a question.I tried to compare the pricing performance of MC simulation against models with known analytical solutions (BS and Heston), and got some puzzling results.I use 1m simulations (or rather 2m considering that a simple anti-thetic variance reduction tec...

Hi Emergix, sorry for the invalid link. I have attached the zipped file instead.However, in the formula, X is ~= v, but =ln(v).

Hi Emergix, thks for your suggestion, Using the proposed transformation (X=ln(v)), I obtain the following equation: So I can just discretize and simulate ln(v) accordingly. Can anyone help to verify if the transformation is correct (Derivation attached)? Thanks.

<t>Hi Martingale, RedeR,Thanks for your suggestions. Both methods do have their pros and cons. RedeR's method may increase the computation time needed considerably, especially if I need to process >1m simulations (a major consideration for me).I hope I understood the empirical properties of the squa...

<t>Hi RedeR, thanks for your reply. Let me try to reiterate your simple example?We start with which after applying Euler discretization scheme becomesor more appropriately for MC simulation, we can generate and use random errors from the standard normal distribution using the following representatio...

<t>Hi all, since u're on the mean-reverting process, hope you wouldn't mind my asking a question. Given the following variance process:It ensures that the variance stays positive, and oscillates within a band. This is supposedly attributed to the non-dimensional characteristic of the variance proces...