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Two concrete FinTech applications of QMC

By Gerhard Larcher

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

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