We describe a method that combines Monte Carlo and numerical quadrature.
Speaker: Viorel Costeanu, JP Morgan Chase
Event Details
Hybrid Monte Carlo
- Event Date: November 6, 2009
- Event End Date: November 6, 2009
- Event Start Time: 3:00 PM
- Event End Time: 4:00 PM
- Event Location: Hill 525
- Event Type: Mathematical Finance and Probability Seminars
- Extra Info: Speaker: Viorel Costeanu, JP Morgan Chase