Search for tag: "monte carlo method"

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Lecture 5-2: Variance Reduction Techniques duration 34 minutes 58 seconds Lecture 5-2: Variance Reduction Techniques Lecture 5-2: Variance Reduction Techniques	Lecture 5-2: Variance Reduction Techniques • Principles and rationale. • Control Variates variance reduction control variables monte carlo method monte carlo error From Tiziano Vargiolu 2 plays 0
Lecture 1 - Principles of Monte Carlo duration 1 hour 39 minutes Lecture 1 - Principles of Monte Carlo Lecture 1 - Principles of Monte Carlo	Lecture 1 - Principles of Monte Carlo Crude Monte Carlo: central limit theorem and law of large numbers. Methods for the generation of random variables: inverse transform, rejection sam- pling. Examples: simulation from the exponential… monte carlo method inverse transform rejection sampling exponential random variables discrete random variables From Tiziano Vargiolu 8 plays 0
Lecture 4: Application of Malliavin calculus to… duration 1 hour 53 minutes Lecture 4: Application of Malliavin calculus to… Lecture 4: Application of Malliavin calculus to exact and approximate option pricing under stochastic volatility	Lecture 4: Application of Malliavin calculus to exact and approximate option pricing under stochastic volatility Introduction Model of asset price and payoff function: additional assumptions, auxiliary properties Elements of Malliavin calculus and application to option pricing The rate of convergence of… euler scheme monte carlo method density malliavin calculus stochastic volatility rough volatility convergence From Tiziano Vargiolu 13 plays 0
Lectures 65-66: discretization and Monte Carlo… duration 1 hour 33 minutes Lectures 65-66: discretization and Monte Carlo… Lectures 65-66: discretization and Monte Carlo errors	Lectures 65-66: discretization and Monte Carlo errors Discretization error and Monte Carlo error. Acceleration techniques. Introduction to MATLAB. Pricing of an Asian option: a horse-race among VBA, MATLAB and parallelized MATLAB codes. monte carlo method monte carlo error discretization error euler scheme matlab vba parallel computing From Tiziano Vargiolu 7 plays 0
Lectures 53-54: variance reduction techniques duration 1 hour 41 minutes Lectures 53-54: variance reduction techniques Lectures 53-54: variance reduction techniques	Lectures 53-54: variance reduction techniques Variance reduction techniques: control variables, antithetic variables,importance sampling. Implementation in VBA. monte carlo method monte carlo error control variables antithetic variables importance sampling vba variance reduction From Tiziano Vargiolu 15 plays 0
Lecture 48: the Monte Carlo method duration 20 minutes 43 seconds Lecture 48: the Monte Carlo method Lecture 48: the Monte Carlo method	Lecture 48: the Monte Carlo method The Monte Carlo method. Monte Carlo estimator and error. monte carlo method monte carlo error variance expectation From Tiziano Vargiolu 9 plays 0