1. 摹擬介紹： 問題求解： 確定及不確定 摹擬模式： 隨機及機遇

2. How did Monte Carlo simulation get its name? Monte Carlo simulation was named for Monte Carlo, Monaco, where the primary attractions are casinos containing games of chance. Games of chance such as roulette wheels, dice, and slot machines, exhibit random behavior.

3. 1.1 HOW DO YOU ANALYZE THE RESULTS OF A SIMULATION? For every spreadsheet model, you have a set of important outputs, such as totals, net profits, or gross expenses, that you want to simulate and analyze. A forecast is a formula or output cell that you want to simulate and analyze.

4. What do you do with uncertain variables in your spreadsheet ? For each uncertain variable (one that has a range of possible values), you define the possible values with a probability distribution. The type of distribution you select is based on the conditions surrounding that variable. Distribution types include:

5. 2.2.1 Continuous Compounding Future Value What will happen if interest compounds at every instant?

6. 2.2.7 Volume-Cost-Profit Break-Even Point

7. Volume-Cost-Profit Break-Even Point

8. Volume-Cost-Profit Income Statement

9. Volume-Cost-Profit Income Statement Interest Rate Selling Volume

10. PROBANILITY DISTRIBUTIONS

11. Random Numbers A sequence of random numbers, R 1, R 2,..., must have two important statistical properties: Uniformity Uniformity Independence Independence

12. Excel: RAND() Each random number R i is an independent sample drawn from a continuous uniform distribution between zero and 1, U(0,1). Each random number R i is an independent sample drawn from a continuous uniform distribution between zero and 1, U(0,1). f(R) = 1 0  R  1 = 0 otherwise f(R) = 1 0  R  1 = 0 otherwise PDF for Random Numbers PDF for Random Numbers R f(R) 01

13. 3.3.1 Brownian Motion Stock Return Does Return obey Normal Distribution?

14. Brownian Motion Stock Return

15. 風險模擬分析

16. 風險情境分析 Scenario Analysis 一舨情境 好情境 不好情境

17. -30 -20 -10 Base 10 20 30 Value (%) 88 NPV (000s) r 風險敏感性分析 Sensitivity Analysis

18. 壓力測試 (Stress Analysis) Stress 狀況