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Allison Zhou

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03 Apr 2012 Financial Seminar Demos Demos commonly used at The MathWorks financial modeling seminars. Author: Ameya Deoras

Great sample files. I think there is an error in the Monte Carlo simulation though. If my understanding is correct, time=0:20 is the number of steps in each simulation. As such, we need to adjust the drifts and std's by it. So in the montecarlo.m file,

drifts = mRet.*dt/(tLen-1);
stds = valat.*sqrt(dt/(tLen-1));

Otherwise we are not projecting one-day returns.

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