Virtualconference
H Derivative pricing, simulation from non-uniform distributions - lecture 3
Auteurs : Ökten, Giray (Auteur de la Conférence)
CIRM (Editeur )
CIRM (Editeur )
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Résumé :
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.
Codes MSC :
65C05
- Monte Carlo methods
65C20
- Models (numerical methods)
91G60
- Numerical methods in mathematical finance
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Informations sur la Vidéo
Réalisateur : Hennenfent, GuillaumeLangue : Anglais Date de publication : 02/11/2020 Date de captation : 02/11/2020 Collection : Research School ; Numerical Analysis and Scientific Computing ; Probability and Statistics Durée : 00:52:12 Domaine : Numerical Analysis & Scientific Computing ; Probability & Statistics Audience : Chercheurs ; Doctorants , Post - Doctorants Download : https://videos.cirm-math.fr/2020-10-27 Okten 3.mp4 
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Informations sur la Rencontre Virtuelle
Nom de la rencontre : Jean-Morlet Chair 2020 - Research School: Quasi-Monte Carlo Methods and Applications / Chaire Jean-Morlet 2020 - Ecole: Méthode de quasi-Monte-Carlo et applicationsOrganisateurs de la rencontre : Rivat, Joël ; Thonhauser, Stefan ; Tichy, Robert Dates : 02/11/2020 - 07/11/2020 Année de la rencontre : 2020 URL Congrès : 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 |
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