Probabilistic numerical methods

Additional Info

  • ECTS credits: 6
  • Semester: 3
  • University: University of Nice - Sophia Antipolis
  • Topics:

     

     - Introduction Monte Carlo methods
    - Simulation of SDE (Stochastic differential Equation)
    - Euler's scheme, speed of convergence
    - Monte Carlo for PDE, Feynman Ka formula
    - Application to Black Scholes
    - Hitting time

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