Monte-Carlo Methods in financial engineering
Please note that this page is old.
Check in the
VVZ for a current information.
Wahlfächer
|
Finanzmathematik, Numerik
|
Dozenten
|
Prof. Philipp Schönbucher, Prof. Andreas Prohl
|
Ort
|
HG E 33.3
|
Zeit
|
Mi 17:15-18:45
|
Beginnt am
|
Mittwoch, den 26. Oktober 2005
|
Kontakt
|
Prof. Philipp Schoenbucher & Prof. Andreas Prohl
|
Voraussetzungen
|
Grundkenntnisse der Statistik
|
Beschreibung
|
We consider Monte-Carlo Methods from the perspective of financial engineering. Topics include the basic discretization methods of stochastic differential equations and various strategies for improving convergence, like e.g. variance reduction techniques, and quasi Monte-Carlo.
|
Literatur
|
P. Glasserman, Monte-Carlo methods in financial engineering, Springer, 2000.
|