Publications
Publications
- December 2002
- HBS Case Collection
Simulation of Prices, Rates and Cash Flows (A)
Abstract
Explicitly considers the most common propagation models for financial variables and explains how to determine the statistical properties of these variables and simulate their future values. Covers arithmetic Brownian motion, geometric Brownian motion, mean-reversion, and jump-diffusion processes. Several examples and exercises are provided from the petroleum industry.
Keywords
Citation
Shimko, David C. "Simulation of Prices, Rates and Cash Flows (A)." Harvard Business School Background Note 203-056, December 2002.