Lecture 2022-1 (20): Numerical Methods: Monte-Carlo Simulation of Stochastic Processes
Channel: finmath
Date: 2022-06-30

Lecture 2022-1: Session 20: Numerical Methods for Mathematical Finance: Monte-Carlo Simulation of Stochastic Processes

- Monte-Carlo Simulation of (Time-Discretized) Itô-Processes
- Monte-Carlo Simulation of Poisson Processes
- Codes Session and Numerical Experiment: Compensated Poisson Process