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Lecture 6.2: Levy-Processes and non-Gaussian Ornstein-Uhlenbeck processes

Simulation of Poisson and compound Poisson processes. Simulation of subordinated Brownian motion and non-Gaussian Ornstein-Uhlenbeck processes.

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Lecture 2 - Simulation of basic processes

Examples: simulation from the multidimensional Gaussian law. Cholesky decomposition, PCA. Examples: generation of the skeleton of the multidimensional Brownian motion and the Ornstein-Uhlenbeck…

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Lectures 70-71: Computationally simple trees

Building computationally simple trees: method of Nelson-Rawaswamy. Pricing of an option written on an exponential Ornstein-Uhlenbeck process: non-parallel and parallel MATLAB…

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