Additional Info

• ECTS credits: 6
• University: University of Nice - Sophia Antipolis
• Semester: 3
• Lecturer 1: Etienne TANRE
• 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