Peter Jäckel – Monte carlo methods in finance

Argomenti del programma: 1 Generating Random Variables 1.1 Introductions 1.2 The Distribution Function 1.3 The Normal Distribution 1.3.1 The meaning of (0, 1) 1.4 How to approximate an integral 1.5 The weak law of large numbers 1.6 The central limit theorem 1.7 Acceptance Rejection Method 2 The Black and Scholes Model 2.1 Introducing Interest Rates and Dividend Yields . 2.2 Vanilla Options. The MC approach . . . . . . . .

Argomenti del programma: 1 Generating Random Variables 1.1 Introductions 1.2 The Distribution Function 1.3 The Normal Distribution 1.3.1 The meaning of (0, 1) 1.4 How to approximate an integral 1.5 The weak law of large numbers 1.6 The central limit theorem 1.7 Acceptance Rejection Method 2 The Black and Scholes Model 2.1 Introducing Interest Rates and Dividend Yields . 2.2 Vanilla Options. The MC approach . . . . . . . .