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Derivative pricing, simulation from non-uniform distributions - lecture 3
Virtualconference
Authors : Ökten, Giray (Author of the conference)
CIRM (Publisher )
65C05 - Monte Carlo methods
65C20 - Models (numerical methods)
91G60 - Numerical methods in mathematical finance
CIRM (Publisher )
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Abstract :
The models of Bachelier and Samuelson will be introduced. Methods for generating number sequences from non-uniform distributions, such as inverse transformation and acceptance rejection, as well as generation of stochastic processes will be discussed. Applications to pricing options via rendomized quasi-Monte Carlo methods will be presented.
MSC Codes : 65C05 - Monte Carlo methods
65C20 - Models (numerical methods)
91G60 - Numerical methods in mathematical finance
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Information on the Video
Film maker : Hennenfent, GuillaumeLanguage : English Available date : 02/11/2020 Conference Date : 02/11/2020 Subseries : Research School arXiv category : Numerical Analysis ; Quantitative Finance Mathematical Area(s) : Numerical Analysis & Scientific Computing ; Probability & Statistics Format : MP4 (.mp4) - HD Video Time : 00:52:12 Targeted Audience : Researchers Download : https://videos.cirm-math.fr/2020-10-27_Okten 3.mp4 
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Information on the Event
Event Title : Jean-Morlet Chair 2020 - Research School: Quasi-Monte Carlo Methods and Applications / Chaire Jean-Morlet 2020 - Ecole: Méthode de quasi-Monte-Carlo et applicationsEvent Organizers : Rivat, Joël ; Thonhauser, Stefan ; Tichy, Robert Dates : 02/11/2020 - 07/11/2020 Event Year : 2020 Event URL : https://www.chairejeanmorlet.com/2255.html
Citation Data
DOI : 10.24350/CIRM.V.19679503Cite this video as: Ökten, Giray (2020). Derivative pricing, simulation from non-uniform distributions - lecture 3. CIRM. Audiovisual resource. doi:10.24350/CIRM.V.19679503 URI : http://dx.doi.org/10.24350/CIRM.V.19679503 |
See Also
- [Virtualconference] PDMPs in risk theory and QMC integration III / Author of the conference Thonhauser, Stefan.
- [Virtualconference] On the estimation of conditional quantiles - lecture 3 / Author of the conference Maume-Deschamps, Véronique.
- [Virtualconference] On the estimation of conditional quantiles - lecture 2 / Author of the conference Maume-Deschamps, Véronique.
- [Virtualconference] Stochastic differential equations / Author of the conference Leobacher, Gunther.
- [Virtualconference] Number sequences for simulation - lecture 2 / Author of the conference Ökten, Giray.
- [Virtualconference] PDMPs and Integrals PDMPs in risk theory and QMC integration II / Author of the conference Thonhauser, Stefan.
- [Multi angle] Quasi-Monte Carlo methods and applications: introduction / Author of the conference Tichy, Robert.
- [Virtualconference] Risk theory: models and objectives PDMPs in risk theory and QMC integration I / Author of the conference Thonhauser, Stefan.
- [Virtualconference] The coordinate sampler: a non-reversible Gibbs-like MCMC sampler / Author of the conference Robert, Christian P.
- [Virtualconference] On the estimation of conditional quantiles - lecture 1 / Author of the conference Maume-Deschamps, Véronique.
- [Virtualconference] Brief introduction of Quasi-Monte Carlo Methods and their Applications / Author of the conference Leobacher, Gunther.
- [Virtualconference] Two concrete FinTech applications of QMC / Author of the conference Larcher, Gerhard.
- [Virtualconference] Number sequences for simulation - lecture 1 / Author of the conference Ökten, Giray.
- [Virtualconference] Optimizing dividends and limited capital injections via exponential approximations I / Author of the conference Avram, Florin.
Bibliography
- GLASSERMAN, Paul. Monte Carlo methods in financial engineering. Springer Science & Business Media, 2013. - http://dx.doi.org/10.1007/978-0-387-21617-1
