Mathematical Finance and Probability Seminars (Since covid these events are taking place online.)

Monte Carlo: Convergence, Variance Reduction, Greeks, Path-Dependent options. Trees and Finite Difference: Binomial and Trinomial Trees, Explicit Finite Difference Schemes, Implicit & Crank-Nicolson, Barrier Options and American Put. American Monte Carlo: Sub-Monte Carlo, Conditional Expectation by Regression. A short discussion on Quasi Random numbers and demonstrated Generation of paths for pricing options using a Monte Carlo simulation in Excel.

Speaker: Viorel Costeanu, JP Morgan

Slides: (TBA)