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Latin Hypercube Simulation

Y

yanyan

Member
Hi,

As referring to Q&A Bank Part 4/ Q4.14 last sub question asked about two other methods of simulation. The answer is Latin H. Simulation and Historic Simulation.

I don't recall these two simulation from study material.

My question is 'are these simulation described in study material anywhere?'

I may not yet familiar with the course notes enough to get the information righ away.

Anyone know if these has been mentioned?

Thanks,
YY
 
yanyan said:
Hi,

As referring to Q&A Bank Part 4/ Q4.14 last sub question asked about two other methods of simulation. The answer is Latin H. Simulation and Historic Simulation.

I don't recall these two simulation from study material.

My question is 'are these simulation described in study material anywhere?'

I may not yet familiar with the course notes enough to get the information righ away.

Anyone know if these has been mentioned?

Thanks,
YY
Click to expand...

Not Idea as not doing the course, but:

Monte Carlo Methods in Financial Engineering (Stochastic Modelling and Applied Probability) [Paperback]
Paul Glasserman (Author)

has a chapter on LHS.

http://www.youtube.com/watch?v=6Nolb4-iRSI gives a simple explanation of historic simulation.
 
Definitely was in the time I was studying this.

Latin Hypercube simulation and bootstrapping essentially....

don't worry too much about the hypercube one, it is unlikely they can ask you to perform one.

Bootstrapping should be something you should be aware of as well...
 
Thank you!

Elroy - thanks again for the link, it is informative. will also have a go in search for the book.

Pyschopath - thank you for your reply. I guess LHS is the starting point of the bootstrapping? I came across bootstrapping briefly and yet to be digested the bootstrapping section properly. I am sure I will have more questions as my study progress. thanks for the advice.

YY :)
 
Hi. The old (pre-2012) ST9 course did have more information about Latin Hypercube and historical simulation. Both of these methods are still mentioned in the 2012 course material - see Section 4 of Chapter 11 and Section 13.3 of Sweeting.

While these methods may not be directly examinable (you are unlikely to be asked to perform a simulation!), it is certainly useful to be aware of and be able to describe various methods of simulation.
 
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