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Applications of Simulation

  • 1.  Applications of Simulation

    Posted Thu July 26, 2018 10:04 AM

    Question:  How do you use simulation in "real life"?

    Background:

    Many years ago, I wrote my Masters essay on Monte Carlo simulation as it applied to derivatives pricing.  My advisor at the time was well-known in this area (P. Boyle) and it combined two things I knew I liked at the time -- programming (not theory) and econometrics.  Within a month of graduating, I was working full-time with MC simulation, this time in the area of financial risk (market risk VaR, specifically).  As time went on, I moved into longer range forecasting, including applications within credit risk and operational risk.  The "pricing" aspects returned when looking into CDOs back in 2005/6 (before they blew up the world!)

    More recently, I worked with a national regulator to integrate Monte Carlo scenario generation techniques with more causal modelling based on graph theory.  In my current project, I am again using it -- this time to "create" sample data so that we can better test behavioural models the team is developing.  

    But I'm curious - when I was doing my undergrad, most of the course examples related to more technical computer challenges like optimization across servers, ... so my initial question:  what do you do with simulation in your life/job/environment?



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    DIANE REYNOLDS
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