Search for tag: "monte carlo method"
Lecture 1 - Principles of Monte CarloCrude 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…
From Tiziano Vargiolu
13 plays
0
|
|
Lecture 4: Application of Malliavin calculus to exact and approximate option pricing under stochastic volatilityIntroduction 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…
From Tiziano Vargiolu
14 plays
0
|
|
Lectures 65-66: discretization and Monte Carlo errorsDiscretization 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.
From Tiziano Vargiolu
7 plays
0
|
|
Lectures 53-54: variance reduction techniquesVariance reduction techniques: control variables, antithetic variables,importance sampling. Implementation in VBA.
From Tiziano Vargiolu
16 plays
0
|
|