Work

Monte Carlo Method for Modeling the Assessment of Potential Scenarios of Market Behavior and the Impact of Random Events on the Portfolio

Year: 2025

Type: conference-paper

Abstract: The Monte Carlo method is one of the most effective tools for modeling market scenarios and analyzing financial risks. This article discusses the mathematical foundations of the method, its application to evaluate investment portfolios, as well as the use of the Black-Scholes model to evaluate the value of derivative financial instruments. An example of using the method to analyze the impact of random macroeconomic events on an investor's portfolio is given. The advantages of the method, its accuracy and computational complexity, as well as its role in modern automated trading systems are discussed.

DOI: 10.58168/e-sestti2025_156-158

Authors: V. Velichko, Nadezhda Yudina, D. Broslavsky, I. Buneev

Institution: Voronezh State University of Forestry and Technologies

Language: English

Topic: Stochastic processes and financial applications

Subfield: Finance

Field: Economics, Econometrics and Finance

Domain: Social Sciences

Open Access status: gold

OpenAlex ID: W4411419198

FWCI:

Cites: 1

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Related to: 10