mw
发帖数: 525 | 1 My understanding is that MC is more computationally intensive so more
suitable for large companies or non-high-freq trading, is this correct? I
am still a student so I hope I could have some input from guys in
industries.
can anyone give me some ideas? thanks! |
l*****i
发帖数: 3929 | 2 It has nothing to do with the size of the company... As you said Monte Carlo
simulation is too time consuming so binomial tree is the choice of many fir
ms.
companies?
【在 mw 的大作中提到】
: My understanding is that MC is more computationally intensive so more
: suitable for large companies or non-high-freq trading, is this correct? I
: am still a student so I hope I could have some input from guys in
: industries.
: can anyone give me some ideas? thanks!
|
mw
发帖数: 525 | 3 previously my understanding was that , since the company is small they
prefer not investing in computing infrastructure (such as renaissance
tech's supercomputer, not only the hardware, but also the know-how), so
small firms eventually choose B-tree for cost reasons
Is this correct?
Carlo
fir
【在 l*****i 的大作中提到】
: It has nothing to do with the size of the company... As you said Monte Carlo
: simulation is too time consuming so binomial tree is the choice of many fir
: ms.
:
: companies?
|
c**********1
发帖数: 359 | 4 longhei u get in office at 730am and hold office hr online? haha |
l*****i
发帖数: 3929 | 5 that's what my day looks like :-)
【在 c**********1 的大作中提到】
: longhei u get in office at 730am and hold office hr online? haha
|
a***r
发帖数: 594 | 6 it has nothing to do with firms or size. if you can price a product in B
tree, you do it. Some complex, exotic products can only be priced with Monte
Carlo, if you want to trade those you must pony up the infrastructure.
for small firms, you don't really need to do any B tree, Monte Carlo. your
phone lines to banks are your Monte Carlo engine. banks will tell you how
much they value the trade, all you need to know if how it compares to prices
to similar trades, prices other banks give or prices
【在 mw 的大作中提到】
: previously my understanding was that , since the company is small they
: prefer not investing in computing infrastructure (such as renaissance
: tech's supercomputer, not only the hardware, but also the know-how), so
: small firms eventually choose B-tree for cost reasons
: Is this correct?
:
: Carlo
: fir
|
mw
发帖数: 525 | 7 thanks for sharing
what if it is in high-frequency domain? i got the impression that what you
mentioned was more about low-frequency trading, is this correct?
Monte
your
how
prices
ago.
【在 a***r 的大作中提到】
: it has nothing to do with firms or size. if you can price a product in B
: tree, you do it. Some complex, exotic products can only be priced with Monte
: Carlo, if you want to trade those you must pony up the infrastructure.
: for small firms, you don't really need to do any B tree, Monte Carlo. your
: phone lines to banks are your Monte Carlo engine. banks will tell you how
: much they value the trade, all you need to know if how it compares to prices
: to similar trades, prices other banks give or prices
|
a***r
发帖数: 594 | 8 I don't know much about high freq. but I assume high freq's trade exchange
traded, stock, commod, option, bonds. for these, I don't see simulation and
B-tree playing big roles. B-tree is for risk neutral deriv pricing. at most
you calib vol surface with BS formula and just use the formula for delta and
stuff. don't see Monte Carlo playing a big role there either. but you need
very powerful real time data analysis engine. the same engine presumably can
be fed historical data for back testing. for
【在 mw 的大作中提到】
: thanks for sharing
: what if it is in high-frequency domain? i got the impression that what you
: mentioned was more about low-frequency trading, is this correct?
:
: Monte
: your
: how
: prices
: ago.
|
l******i
发帖数: 1404 | 9 我的理解和经验是：
MonteCarlo works well for a lot EXCEPT option pricing;
Binomial Tree works well ONLY for option pricing. |
s******r
发帖数: 350 | 10 Wrong. Monte Carlo works well for path-dependent option pricing.
【在 l******i 的大作中提到】
: 我的理解和经验是：
: MonteCarlo works well for a lot EXCEPT option pricing;
: Binomial Tree works well ONLY for option pricing.
|
