24:40 duration 24 minutes 40 seconds
Lecture 6.1: Variance Reduction Techniques
• Importance sampling. • Stratification and Latin Hypercube Sampling, some words on Quasi-Monte Carlo. • Examples: application to some common financial contracts.
01:41:27 duration 1 hour 41 minutes
Lectures 53-54: variance reduction techniques
Variance reduction techniques: control variables, antithetic variables,importance sampling. Implementation in VBA.