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My first interaction with a Monte Carlo simulation was not a very pleasant experience. It was a exam problem based on a difficult text book and an even more incomprehensible study note that I had hardly understood. But over the years great teachers like Mark Broadie, friends like Carlos Desmaras and students at SP Jain and Alchemy platforms finally helped me crack the code behind Monte Carlo Simulations.
This note starts with the basic concepts and end with some fairly complex application. The interest rate modeling piece is covered with a downloadable pdf file that Mark shared with us at Columbia as part of his course on Security pricing. Irrespective of how much I grow and write and teach it will be difficult for me to beat the simple elegance of his 10 pages on interest rate modelling.
Computational Finance: Building your first Monte Carlo (MC) simulator model for simulated equity prices in Excel
Extending MC simulation for currencies and commodities