Data & Finance
Asset Return Simulator
Explore asset-price dynamics using Monte Carlo simulation. Compare geometric Brownian motion, jump-diffusion, stochastic volatility and mean-reverting processes, and examine the resulting return distributions and risk measures.
Mean Final
-
Expected price
Median Return
-
50th percentile
VaR 95%
-
Return percentile
CVaR / ES
-
Expected shortfall
Annual Vol
-
Realized
Sharpe
-
5% risk-free rate
Simulated Price Paths
(sample + median)
Return Distribution
Percentile Fan
(10 / 25 / 50 / 75 / 90)
Max Drawdown Distribution
Rolling Volatility
(21-day)
Model Equation
Run simulation to see stochastic equation.
About the simulator
Monte Carlo simulation generates many possible future price paths from the selected stochastic process. The resulting distribution is then used to calculate return, volatility, drawdown, Value at Risk and Expected Shortfall. The models are illustrative rather than forecasts of any particular asset.