Lecture Computational Finance / Numerical Methods 11: Monte-Carlo 11: acceptance-rejection f. normal
Channel: finmath
Date: 10/06/2020

Lecture on Computational Finance / Numerical Methods for Mathematical Finance. Session 11: Monte-Carlo Method: Generation of Random Number Sequences with given Distribution (4/4)

The eleventh (and last) session on the Monte-Carlo method. Generation of random number sequences with given (non-uniform) distribution.

- Acceptance-rejection-method for the normal distribution
- Weighted Monte-Carlo

Resources:
- The GeoGebra experiment shown at 00:48: https://www.geogebra.org/m/svk4dxdv