Search for tag: "variance"

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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
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
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
Lecture 11: Stochastic integrals and conditioning duration 54 minutes 47 seconds Lecture 11: Stochastic integrals and conditioning Lecture 11: Stochastic integrals and conditioning	Lecture 11: Stochastic integrals and conditioning The partition property. Covariance and conditional covariance of stochastic integrals. partition property conditional expectation stochastic integral variance From Tiziano Vargiolu 22 plays 0