Analysis seminar: Christian Autenried
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Speaker: Christian Autenried, PhD, Mathematical Department, UiB
Title: Numerical methods in mathematical finance illustraded on the Monte Carlo method.
Abstract: We introduce the idea and application of the Monte Carlo method to approximate integrals. For that purpose we construct a pseudo random number generator for uniformly distributed random variables. Furthermore, we present the method of control variates, which is among the most effective and broadly applicable technique for improving the efficiency of Monte Carlo simulation.
Title: Numerical methods in mathematical finance illustraded on the Monte Carlo method.
Abstract: We introduce the idea and application of the Monte Carlo method to approximate integrals. For that purpose we construct a pseudo random number generator for uniformly distributed random variables. Furthermore, we present the method of control variates, which is among the most effective and broadly applicable technique for improving the efficiency of Monte Carlo simulation.
24.11.2014