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, http://cermics.enpc.fr/~jourdain/MCfinance/poly.pdf
- 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 email@example.com