Andreas Eberle - Courses and Seminars

Graduate Seminar on Applied Stochastics, WS 2011/12:
Numerics of SDE and Monte Carlo Methods

Day and time: Thursdays 14 c.t., Room N 0.007; first meeting on November 17

Assistent: Evangelia Petrou 

Contents: In parallel to the course on Stochastic Analysis, the seminar treats numerical methods for stochastic differential equations.

  • Discretization of stochastic differential equations: Euler and Milstein scheme, weak and strong convergence order, higher order schemes, exact simulation.
  • Variance reduction methods and applications in mathematical finance.
  • Simulation of jump processes and corresponding sde.
  • Differentiation w.r.t. a parameter: derivative flows and Malliavin calculus.


  • Jourdain: Méthodes de Monte Carlo pur les processus financiers,
  • Kloeden, Platen: Numerical solution of SDE
  • Platen, Bruti-Liberati: Numerical solution of SDE with jumps
  • Glasserman: Monte Carlo Methods in financial engineering
  • Asmussen/Glynn: Stochastic Simulation
  • Da Prato: Introduction to stochastic analysis and Malliavin calculus 


11 October 2011 Andreas Eberle