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Two concrete FinTech applications of QMC
Virtualconference
Authors : Larcher, Gerhard (Author of the conference)
CIRM (Publisher )
Additional resources :
https://www.cirm-math.com/uploads/2/6/6/0/26605521/cirm_talk_larcher.pdf
CIRM (Publisher )
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Abstract :
I present the basics and numerical result of two (or three) concrete applications of quasi-Monte-Carlo methods in financial engineering. The applications are in: derivative pricing, in portfolio selection, and in credit risk management.
Keywords : financial mathematics; derivative pricing; Monte-Carlo simulation
MSC Codes : Keywords : financial mathematics; derivative pricing; Monte-Carlo simulation
Additional resources :
https://www.cirm-math.com/uploads/2/6/6/0/26605521/cirm_talk_larcher.pdf
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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 : Mathematical Finance ; Artificial Intelligence ; Machine Learning Mathematical Area(s) : Mathematics in Science & Technology Format : MP4 (.mp4) - HD Video Time : 00:52:37 Targeted Audience : Researchers Download : https://videos.cirm-math.fr/2020-10-28_Larcher.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.19664103Cite this video as: Larcher, Gerhard (2020). Two concrete FinTech applications of QMC. CIRM. Audiovisual resource. doi:10.24350/CIRM.V.19664103 URI : http://dx.doi.org/10.24350/CIRM.V.19664103 |
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.
- [Virtualconference] Derivative pricing, simulation from non-uniform distributions - lecture 3 / Author of the conference Ökten, Giray.
- [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] 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
- LARCHER, Gerhard - Quantitative Finance Strategien, Investments, Analysen - Springer 2020, 978-3-658-29157-0 - DOI https://doi.org/10.1007/978-3-658-29158-7
