Research School

Collection Research School

00:00:00 / 00:00:00

65

Two concrete FinTech applications of QMC

By Gerhard Larcher

Also appears in collection : Jean-Morlet Chair 2020 - Research School: Quasi-Monte Carlo Methods and Applications / Chaire Jean-Morlet 2020 - Ecole: Méthode de quasi-Monte-Carlo et applications

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.

Information about the video

Date of recording 02/11/2020
Date of publication 02/11/2020
Institution CIRM
Licence CC BY NC ND
Language English
Audience Researchers
Director(s) Guillaume Hennenfent
Format MP4

Citation data

DOI 10.24350/CIRM.V.19664103
Cite this video Larcher, Gerhard (02/11/2020). Two concrete FinTech applications of QMC. CIRM. Audiovisual resource. DOI: 10.24350/CIRM.V.19664103
URL https://dx.doi.org/10.24350/CIRM.V.19664103

Domain(s)

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](DOI https://doi.org/10.1007/978-3-658-29158-7)

Document(s)

https://www.cirm-math.com/uploads/2/6/6/0/26605521/cirm_talk_larcher.pdf

Last related questions on MathOverflow

You have to connect your Carmin.tv account with mathoverflow to add question

Ask a question on MathOverflow

All the collection videos

59:03

published on March 24, 2016

Bestiaire de chaînes de Markov à mémoire variable et marches aléatoires persistantes

By Peggy Cénac-Guesdon

56:28

published on March 24, 2016

Le Laplacien massique Z-invariant sur les graphes isoradiaux

By Béatrice de Tilière

01:11:04

published on March 24, 2016

Introduction aux processus de fragmentation - Partie 2

By Bénédicte Haas

01:54:43

published on May 3, 2016

Calabi-Yau manifolds, mirror symmetry, and $F$-theory - part I

By David R. Morrison

01:58:36

published on May 3, 2016

Calabi-Yau manifolds, mirror symmetry, and $F$-theory - part II

By David R. Morrison

01:37:54

published on March 16, 2017

The KPZ fixed point - Lecture 1

By Daniel Remenik

01:29:51

published on March 16, 2017

The KPZ fixed point - Lecture 2

By Daniel Remenik

01:38:35

published on March 16, 2017

Variational formulas, Busemann functions, and fluctuation exponents for the corner growth model with exponential weights - Lecture 2

By Timo Seppäläinen

01:34:58

published on March 16, 2017

Variational formulas, Busemann functions, and fluctuation exponents for the corner growth model with exponential weights - Lecture 3

By Timo Seppäläinen

28:47

published on March 30, 2017

Processus de Pólya à valeur mesure

By Cécile Mailler

01:01:40

published on March 30, 2017

Une histoire de mots inattendus et de génomes

By Sophie Schbath

01:27:53

published on April 13, 2017

Collective dynamics in life sciences - Lecture 2. The Vicsek model as a paradigm for self-organization: from particles to fluid via kinetic descriptions

By Pierre Degond

32:39

published on April 13, 2017

Collective dynamics in life sciences - Lecture 3. Phase transitions in the Vicsek model: mathematical analyses in the kinetic framework

By Pierre Degond

01:31:01

published on April 13, 2017

Steady states and long range correlations in driven systems - Lecture 1

By David Mukamel

01:29:32

published on April 13, 2017

Steady states and long range correlations in driven systems - Lecture 2

By David Mukamel

01:05:15

published on July 26, 2017

Capacity expansion games with application to competition in power generation investments

By René Aïd

54:55

published on July 26, 2017

Mean field games with major and minor players

By René Carmona

01:48:41

published on July 26, 2017

An introduction to BSDE

By Peter Imkeller

01:05:24

published on July 26, 2017

On the interplay between kinetic theory and game theory

By Pierre Degond

01:04:34

published on July 26, 2017

Model-free control and deep learning

By Marc Bellemare

01:33:54

published on July 31, 2017

Branching for PDEs

By Xavier Warin

01:03:25

published on August 1, 2017

Bandits in auctions (& more)

By Vianney Perchet

01:24:58

published on February 1, 2018

Calcul tensoriel formel sur les variétés différentielles - Partie 2

By Éric Gourgoulhon

33:27

published on March 22, 2018

Sur les mesures stationnaires des VLMC

By Nicolas Pouyanne

01:09:00

published on April 24, 2018

Introduction to quantum optics - Lecture 4

By Peter Zoller

01:27:35

published on November 2, 2016

Mutually enriching connections between ergodic theory and combinatorics - part 1

By Vitaly Bergelson

01:12:01

published on November 2, 2016

Mutually enriching connections between ergodic theory and combinatorics - part 3

By Vitaly Bergelson

01:01:00

published on November 2, 2016

Mutually enriching connections between ergodic theory and combinatorics - part 4

By Vitaly Bergelson

01:26:28

published on November 2, 2016

Mutually enriching connections between ergodic theory and combinatorics - part 5

By Vitaly Bergelson

01:30:32

published on November 2, 2016

Mutually enriching connections between ergodic theory and combinatorics - part 6

By Vitaly Bergelson

01:13:50

published on November 2, 2016

Mutually enriching connections between ergodic theory and combinatorics - part 7

By Vitaly Bergelson

58:41

published on November 2, 2016

Mutually enriching connections between ergodic theory and combinatorics - part 8

By Vitaly Bergelson

01:10:22

published on July 26, 2018

A new continuum theory for incompressible swelling materials

By Pierre Degond

01:58:23

published on November 12, 2018

Bayesian computational methods

By Christian P. Robert

01:46:08

published on November 1, 2018

Bayesian computation with INLA

By Havard Rue

01:59:38

published on November 12, 2018

An introduction to particle filters

By Nicolas Chopin

02:05:23

published on October 31, 2018

Model assessment, selection and averaging

By Aki Vehtari

01:26:05

published on March 21, 2019

Transductions - Partie 1

By Emmanuel Filiot

01:27:49

published on March 25, 2019

Transductions - Partie 2

By Pierre-Alain Reynier

01:26:36

published on May 13, 2019

Semistructured data, logic, and automata – part 1

By Diego Figueira

01:16:55

published on May 13, 2019

Semistructured data, logic, and automata – part 2

By Diego Figueira

01:19:29

published on May 21, 2019

Cohomological obstructions to local-global principles - lecture 1

By Cyril Demarche

01:14:07

published on May 21, 2019

Cohomological obstructions to local-global principles - lecture 2

By Cyril Demarche

01:17:29

published on May 21, 2019

Cohomological obstructions to local-global principles - lecture 3

By Cyril Demarche

01:18:09

published on May 21, 2019

Interactions of analytic number theory and geometry - lecture 2

By Damaris Schindler

01:15:24

published on May 21, 2019

Interactions of analytic number theory and geometry - lecture 3

By Damaris Schindler

01:14:39

published on May 21, 2019

Cohomological obstructions to local-global principles - lecture 4

By Cyril Demarche

01:07:32

published on May 21, 2019

Interactions of analytic number theory and geometry - lecture 4

By Damaris Schindler

01:00:52

published on July 30, 2019

Noise sensitivity for random walks

By Itai Benjamini

01:20:26

published on July 30, 2019

Condensation in random trees 1/3

By Igor Kortchemski

01:11:24

published on July 30, 2019

Condensation in random trees 2/3

By Igor Kortchemski

01:12:11

published on July 30, 2019

Condensation in random trees 3/3

By Igor Kortchemski

56:53

published on August 30, 2019

Scales in geophysical flows - Lecture 1

By Rupert Klein

01:02:11

published on August 30, 2019

Asymptotic methods for the study of oceanographic models - Lecture 1: model hierarchy

By Anne-Laure Dalibard

01:23:10

published on August 30, 2019

Internal wave dynamics in the atmosphere - Lecture 2

By Rupert Klein

01:28:54

published on August 30, 2019

Modelling shallow water waves - Lecture 1

By David Lannes

01:35:09

published on August 30, 2019

Asymptotic methods for the study of oceanographic models - Lecture 2: filtering methods

By Anne-Laure Dalibard

01:12:35

published on August 30, 2019

Internal wave dynamics in the atmosphere, take-home messages - Lecture 3

By Rupert Klein

01:04:46

published on August 30, 2019

Modelling shallow water waves - Lecture 2

By David Lannes

01:33:00

published on August 30, 2019

Asymptotic methods for the study of oceanographic models - Lecture 3: boundary layer methods

By Anne-Laure Dalibard

01:34:37

published on August 30, 2019

Modelling shallow water waves - Lecture 3

By David Lannes

01:36:05

published on September 20, 2019

Basics on affine Grassmanianns

By Timo Richarz

01:41:31

published on February 21, 2020

Stochastic modeling for population dynamics: simulation and inference - Part 1

By Benoîte de Saporta

01:33:26

published on February 21, 2020

Stochastic modeling for population dynamics: simulation and inference - Part 2

By Benoîte de Saporta

59:27

published on November 2, 2020

PDMPs and Integrals PDMPs in risk theory and QMC integration II

By Stefan Thonhauser

Copyright Carmin.tv 2024

Give feedback