Derivative pricing, simulation from non-uniform distributions - lecture 3 | Vidéo | Carmin.tv

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Derivative pricing, simulation from non-uniform distributions - lecture 3

By Giray Ökten

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

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.

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.19679503
Cite this video Ökten, Giray (02/11/2020). Derivative pricing, simulation from non-uniform distributions - lecture 3. CIRM. Audiovisual resource. DOI: 10.24350/CIRM.V.19679503
URL https://dx.doi.org/10.24350/CIRM.V.19679503

Domain(s)

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

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