Lecture Computational Finance / Numerical Methods 05-01: Monte-Carlo 03: Interpretation, Curse of D.
Channel: finmath
Date: 16/05/2020

Lecture on Computational Finance / Numerical Methods for Mathematical Finance. Session 05-1: Monte-Carlo Method: Monte-Carlo Integration (Part 2/2)

The third session on the Monte-Carlo method with the second session on Monte-Carlo integration.
- Monte-Carlo integration versus classical integration methods  (e.g. Simpson’s rule).
- The probabilistic nature is not a bug, it’s a feature.
- How Monte-Carlo escapes the curse of dimension.
- code sessions