A Monte Carlo solver for financial problems
This thesis proposes a way to design software for Monte Carlo simulation that facilitates the simulation of many different kinds of stochastic processes. Monte Carlo simulation is a powerful tool that has applications in many financial contexts. One important application is the pricing of complex financial derivatives. A software for Monte Carlo simulation that is adaptable to price different derivatives could potentially save money, time and effort. The thesis provides an introduction to Monte Carlo simulation in the financial markets. An analysis of the problem considered in the thesis project is given and a design of a Monte Carlo simulation engine is given. Finally, examples illustrating the use of the software are given.