QuoteOriginally posted by: xmulh2QuoteOriginally posted by: mjmy take on Monte Carlo is that it's a method of carrying out numerical integration. and for high-d problems is the fastest one.for numerical integration, you can use some good softwares, such as Matlab. I mainly use the MC to price the path dependent derivatives.xmulh2, you had me laugh, really!If that is really your understanding of MC I wonder about the quality of your pricing.But you were joking, weren't you? :-)ciao -- NandoPS the funniest message this year, in my book!

QuoteOriginally posted by: xmulh2QuoteOriginally posted by: mjmy take on Monte Carlo is that it's a method of carrying out numerical integration. and for high-d problems is the fastest one.for numerical integration, you can use some good softwares, such as Matlab. I mainly use the MC to price the path dependent derivatives.I think you missed the key point in mj's post. In high dimensions, MC is faster than most other numerical techniques, unless there is exploitable structure (e.g. massive symmetry) in the problem. What 'high' means in this context depends on the problem and who you ask.

MC vs Numeric? I'm looking at a 5%-6% CDO tranche that changes subordination by 1% after 1,2,3 years. In case loss exceeds att A by amount L, shift is applied to Att-L, tranche thickness is reduced by LIs this a case where I need (conditional?) Monte Carlo?Is there an easier way?