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Monte Carlo Simulation Methods

Authored by: Thierry Roncalli

Handbook of Financial Risk Management

Print publication date:  April  2020
Online publication date:  April  2020

Print ISBN: 9781138501874
eBook ISBN: 9781315144597
Adobe ISBN:


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Monte Carlo methods consist of solving mathematical problems using random numbers. The term ‘Monte Carlo’ was apparently coined by physicists Ulam and von Neumann at Los Alamos in 1940 and refers to gambling casinos in Monaco 1 . Until the end of the eighties, Monte Carlo methods were principally used to calculate numerical integration 2 including mathematical expectations. More recently, the Monte Carlo method designates all numerical methods that involves stochastic simulation and consider random experiments on a computer.

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