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Lecture 6.1: Variance Reduction Techniques

duration 24 minutes 40 seconds

Lecture 6.1: Variance Reduction Techniques

Lecture 6.1: Variance Reduction Techniques

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.

variance reduction
importance sampling
stratification
quasi monte carlo
latin hypercube
From  Tiziano Vargiolu 1 plays 0