Lecture Computational Finance / Numerical Methods 33: Brownian Bridge
Channel: finmath
Date: 20/07/2021

Lecture on Computational Finance / Numerical Methods for Mathematical Finance. Session 33: Refinement of the Time Discretisation: Brownian Bridge

A short session on the Brownian bridge.

- Motivation
- Distribution of (W(s) | W(t) = y)
- Brownian bridge (proof)
- Euler-scheme for the Brownian bridge.