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Research in Construction and Testing of Adaptive Monte Carlo Algorithms with Applications to Financial Risk Management

Number
Session Date
Status
Faculty
SCI 498
AT1 (5/23 - 7/15)
Closed

Description 

This research will develop new Monte Carlo algorithms that automatically adjust the sample size to reach the desired error tolerance. These algorithms will also employ variance reduction methods. Their effectiveness will be demonstrated through various option pricing and other financial risk applications.