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)
Event Details
Monte Carlo and tree methods in interest rate derivative pricing
- Event Date: February 17, 2011
- Event End Date: February 17, 2011
- Event Start Time: 6:40 PM
- Event End Time: 9:30 PM
- Event Location: SEC 207
- Event Type: Mathematical Finance and Probability Seminars
- Extra Info: Speaker: Viorel Costeanu, JP Morgan