Course term: Hilary
Course lecture information: 16 lectures
Course overview:
This course covers some advanced Monte Carlo methods, such as quasi Monte Carlo, regression-based methods for early exercise options, and multi-level Monte Carlo simulation. At the end of the course, the student should have a thorough understanding of the theory behind more advanced Monte Carlo methods, be able to implement them for a range of applications, and have an appreciation of some of the current research areas.