Low-discrepancy sequences | Monte Carlo methods in finance
High-dimensional integrals in hundreds or thousands of variables occur commonly in finance. These integrals have to be computed numerically to within a threshold . If the integral is of dimension then in the worst case, where one has a guarantee of error at most , the computational complexity is typically of order . That is, the problem suffers the curse of dimensionality. In 1977 P. Boyle, University of Waterloo, proposed using Monte Carlo (MC) to evaluate options. Starting in early 1992, J. F. Traub, Columbia University, and a graduate student at the time, S. Paskov, used quasi-Monte Carlo (QMC) to price a Collateralized mortgage obligation with parameters specified by Goldman Sachs. Even though it was believed by the world's leading experts that QMC should not be used for high-dimensional integration, Paskov and Traub found that QMC beat MC by one to three orders of magnitude and also enjoyed other desirable attributes. Their results were first published in 1995. Today QMC is widely used in the financial sector to value financial derivatives; see list of books below. QMC is not a panacea for all high-dimensional integrals. A number of explanations have been proposed for why QMC is so good for financial derivatives. This continues to be a very fruitful research area. (Wikipedia).
What is the Monte Carlo method? | Monte Carlo Simulation in Finance | Pricing Options
In today's video we learn all about the Monte Carlo Method in Finance. These classes are all based on the book Trading and Pricing Financial Derivatives, available on Amazon at this link. https://amzn.to/2WIoAL0 Check out our website http://www.onfinance.org/ Follow Patrick on twitter h
From playlist Exotic Options & Structured Products
Robert Tichy: Quasi-Monte Carlo methods and applications: introduction
VIRTUAL LECTURE Recording during the meeting "Quasi-Monte Carlo Methods and Applications " the October 28, 2020 by the Centre International de Rencontres Mathématiques (Marseille, France) Filmmaker: Guillaume Hennenfent Find this video and other talks given by worldwide mathematician
From playlist Virtual Conference
An introduction to multilevel Monte Carlo methods – Michael Giles – ICM2018
Numerical Analysis and Scientific Computing Invited Lecture 15.7 An introduction to multilevel Monte Carlo methods Michael Giles Abstract: In recent years there has been very substantial growth in stochastic modelling in many application areas, and this has led to much greater use of Mon
From playlist Numerical Analysis and Scientific Computing
Gerhard Larcher: Two concrete FinTech applications of QMC
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. VIRTUAL LECTURE Recording during the meeting "Q
From playlist Virtual Conference
Gunther Leobacher: Quasi Monte Carlo Methods and their Applications
In the first part, we briefly recall the theory of stochastic differential equations (SDEs) and present Maruyama's classical theorem on strong convergence of the Euler-Maruyama method, for which both drift and diffusion coefficient of the SDE need to be Lipschitz continuous. VIRTUAL LECTU
From playlist Virtual Conference
Monte Carlo Integration In Python For Noobs
Monte Carlo is probably one of the more straightforward methods of numerical Integration. It's not optimal if working with single-variable functions, but nonetheless is easy to use, and readily generalizes to multi-variable functions. In this video I motivate the method, then solve a one-d
From playlist Daily Uploads
Monte Carlo Simulation and Python
Monte Carlo Simulation with Python Playlist: http://www.youtube.com/watch?v=9M_KPXwnrlE&feature=share&list=PLQVvvaa0QuDdhOnp-FnVStDsALpYk2hk0 Here we bring at least the initial batch of tutorials to a close with the 3D plotting of our variables in search for preferable settings to use.
From playlist Monte Carlo Simulation with Python
Giray Ökten: Derivative pricing, simulation from non-uniform distributions - lecture 3
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 re
From playlist Probability and Statistics
Giray Ökten: Number sequences for simulation - lecture 2
After an overview of some approaches to define random sequences, we will discuss pseudorandom sequences and low-discrepancy sequences. Applications to numerical integration, Koksma-Hlawka inequality, and Niederreiter’s uniform point sets will be discussed. We will then present randomized q
From playlist Probability and Statistics
A. Eberle: Couplings & converg. to equilibrium f. Langevin dyn. & Hamiltonian Monte Carlo methods
The lecture was held within the framework of the Hausdorff Trimester Program: Kinetic Theory Abstract: Coupling methods provide a powerful approach to quantify convergence to equilibrium of Markov processes in appropriately chosen Wasserstein distances. This talk will give an overview on
From playlist Workshop: Probabilistic and variational methods in kinetic theory
Statistics: Ch 4 Probability and Statistics (68 of 74) Monte Carlo Simulation: Example 1
Visit http://ilectureonline.com for more math and science lectures! To donate: http://www.ilectureonline.com/donate https://www.patreon.com/user?u=3236071 We will use the Monte Carlo simulation to find the most likely duration (in months) it take to complete 5 projects by assigning the l
From playlist STATISTICS CH 4 STATISTICS IN PROBABILITY
Lecture 10 - Price Distributions
This is Lecture 10 of the COMP510 (Computational Finance) course taught by Professor Steven Skiena [http://www.cs.sunysb.edu/~skiena/] at Hong Kong University of Science and Technology in 2008. The lecture slides are available at: http://www.algorithm.cs.sunysb.edu/computationalfinance/pd
From playlist COMP510 - Computational Finance - 2007 HKUST
Semantic models for higher-order Bayesian inference - Sam Staton, University of Oxford
In this talk I will discuss probabilistic programming as a method of Bayesian modelling and inference, with a focus on fully featured probabilistic programming languages with higher order functions, soft constraints, and continuous distributions. These languages are pushing the limits of e
From playlist Logic and learning workshop
Giacomo Dimarco: Numerical methods and uncertainty quantificationfor kinetic equations - lecture 2
In this course, we will consider the development and the analysis of numerical methods for kinetic partial differential equations. Kinetic equations represent a way of describing the time evolution of a system consisting of a large number of particles. Due to the high number of dimensions
From playlist CEMRACS 2022