“Smart Monte Carlo” (SMC) improves accuracy and speed. We extend results in an earlier paper, applying SMC to path-dependent deals and multifactor models. Auxiliary results are a path-to-path distance, an analytic approximation for N-dimensional Gaussian integrals, and time interpolation...

We present “Smart Monte Carlo” or SMC, improving the efficiency of Monte Carlo (MC) simulations. SMC has two “stages”. The first stage, run adaptively for each deal, produces equivalent results to standard MC simulation using fewer calls to the time-consuming pricing functions. The...

We show that VAR calculation speedup of an order of magnitude can be obtained using Smart Monte Carlo with a sophisticated interpolator. As a byproduct, we give some encouraging numerical results for evaluating N-dimensional Gaussian integrals without doing any integrals at all