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Outline of Lectures:
(1) Time : AM
10:00-12:00, Fri., Nov. 10
Place:
Lecture Room
A
of National Center for
Theoretical Sciences
4th Floor, The 3rd General
Building, National Tsing Hua University
Introduction to Monte Carlo methods and Quasi Monte Carlo
methods.
(2) Time : AM
10:00-12:00, Fri., Nov. 17
Place:
Lecture Room A
of National Center for
Theoretical Sciences
4th Floor, The 3rd General
Building, National Tsing Hua University
Intermediate Rank Lattice Rules and Applications
to Finance.
(3) Time : AM
10:00-12:00, Fri., Nov. 24
Place:
Lecture Room B
of National Center for Theoretical Sciences
4th Floor, The 3rd General
Building, National Tsing Hua University
Simulating Financial Derivative Sensitivities by Malliavin
Calculus and
Quasi-Monte Carlo Methods
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Stochastic
modeling plays a central role of modern financial theory.
Because of the complexity of financial models, it is natural to employee
Monte Carlo simulation as a computational tool for derivatives pricing
and risk management. Variance reduction techniques such as variates
methods and importance sampling are popularly applied but they are
difficult to analyze. Recently Quasi Monte Carlo or low discrepancy
methods provide alternatives to simulation-based methods. They make no
attempt to minic randomness but seek to generate points evenly
distributed. Their theoretical ground is based on number theory and
abstract algebra rather than probability and statistics. In this
mini-series, we will overview these methods and theories, and provide
some applications of these computational methods in finance.
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