Monte Carlo methods in finance - PowerPoint PPT Presentation
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Monte Carlo methods in finance
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Strong and Weak Order of Convergence. Convergence Order of the Euler Scheme ... Example: LIBOR Market Model. Example: LIBOR Market Model. Example: LIBOR Market Model ... – PowerPoint PPT presentation
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Title: Monte Carlo methods in finance
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Monte Carlo methods in finance
- Discretization of stochastic differential
equations
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The Euler scheme and a First Refinement
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The Euler approximation
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The Euler approximation
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The Euler approximation
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A First Refinement
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A First Refinement
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A First Refinement
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A First Refinement
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A First Refinement
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A First Refinement
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A First Refinement
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A First Refinement
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Milsteins Refinement
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Milsteins Refinement
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The Multidimensional Case
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The Multidimensional Case
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Convergence Order
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Strong error criteria
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Weak error criterion
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Applications
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Compare methods
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Strong Order of Convergence
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Weak Order of Convergence
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Strong and Weak Order of Convergence
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Convergence Order of the Euler Scheme
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Convergence Order of the Euler Scheme
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Convergence Order of the Euler Scheme
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Convergence Order of the Euler Scheme
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Convergence Order of the Refined Scheme
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Second-Order Methods
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The Scalar Case
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The Scalar Case
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The Scalar Case
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The Scalar Case
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The Scalar Case
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The Scalar Case
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The Scalar Case
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The Scalar Case
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The Discretization Scheme
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The Discretization Scheme
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The Discretization Scheme
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The Discretization Scheme
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The Discretization Scheme
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The Discretization Scheme
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The Vector Case
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The Vector Case
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Commutativity Condition
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Commutativity Condition
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Commutativity Condition
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Example LIBOR Market Model
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Example LIBOR Market Model
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Example LIBOR Market Model
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A Simplified Scheme
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A Simplified Scheme
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A Simplified Scheme
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A Simplified Scheme
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Example Stochastic volatility model
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Example Stochastic volatility model
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Example Stochastic volatility model
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Example Stochastic volatility model
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Example Stochastic volatility model
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Incorporating Path-Dependence
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Incorporating Path-Dependence
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Incorporating Path-Dependence
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Incorporating Path-Dependence
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Incorporating Path-Dependence
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Incorporating Path-Dependence
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Incorporating Path-Dependence
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Extrapolation
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Extrapolation
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Extrapolation
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Extrapolation
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Extrapolation
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Extrapolation
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Extrapolation
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Extrapolation
