The application of Monte Carlo simulation in finance, economics and operations management

Gerald E. Evans, Belva Jones

Research output: Chapter in Book/Report/Conference proceedingConference contributionpeer-review

Abstract

Monte Carlo simulation replaces deterministic values in equations with probabilistic values. Multiple solutions are computed by randomly sampling each probability distribution and an array of summary statistics are generated. This computational procedure represents a clear advance over discrete sensitivity analysis, scenario generation and what-if analysis for risk assessment. Crystal Ball is a simulation program that works within Microsoft Excel. Consequently, any problem that can be quantified in a spreadsheet can be the basis for a Monte Carlo simulation. This paper will explore and demonstrate the use of this computational procedure for such business applications as inventory management, portfolio optimization, project selection, reservation management, and benefits management. The conference presentation will also include a demonstration of the software application.

Original languageEnglish
Title of host publication2009 WRI World Congress on Computer Science and Information Engineering, CSIE 2009
Pages379-383
Number of pages5
DOIs
StatePublished - 2009
Event2009 WRI World Congress on Computer Science and Information Engineering, CSIE 2009 - Los Angeles, CA, United States
Duration: Mar 31 2009Apr 2 2009

Publication series

Name2009 WRI World Congress on Computer Science and Information Engineering, CSIE 2009
Volume4

Conference

Conference2009 WRI World Congress on Computer Science and Information Engineering, CSIE 2009
Country/TerritoryUnited States
CityLos Angeles, CA
Period03/31/0904/2/09

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