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Host: MaPhySto, University of Aarhus
Homepage: http://www.maphysto.dk/events/MCMOP2001/
Email: maphysto@maphysto.dk
Organizers: Jørgen Aase Nielsen (University of Aarhus), Kristian R. Miltersen (University of Southern Denmark, Odense), Søren Asmussen (University of Lund)
Description:
This course covers the development, analysis, and application of Monte Carlo methods in financial engineering and
risk management. Emphasis will be placed on understanding the efficiency of Monte Carlo methods, combining
computational and statistical considerations. Techniques will be illustrated through applications of current interest in
industry and in research.
Course Outline:
Principles of Monte Carlo Methods Basic Sampling Techniques Variance Reduction Techniques Quasi-Monte Carlo Discretization Methods for Stochastic Differential Equations Pricing American Options by Simulation Simulation Methods for Risk Measurement
Speakers: Paul Glasserman
Date received: March 06, 2001
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