Pseudo-random numbers.

6 Maio 2016, 19:00 • Fernando Manuel Rodrigues Ferreira Gonçalves

Pseudo-random numbers: Concept; Linear congruential generator; Kolmogorov-Smirnov and Chi-squared tests for distribution; Run tests for independence.

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Monte Carlo method: Exercises.

29 Abril 2016, 19:00 • Fernando Manuel Rodrigues Ferreira Gonçalves

Monte Carlo method: Exercises.

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Monte Carlo method: Introduction; Iversion of the probability distribution function; Basic principles.

26 Abril 2016, 19:00 • Fernando Manuel Rodrigues Ferreira Gonçalves

Monte Carlo method: Introduction; Iversion of the probability distribution function; Basic principles.

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Exercises: ODEs, binomial and F-D methods for PDEs.

22 Abril 2016, 19:00 • Fernando Manuel Rodrigues Ferreira Gonçalves

Exercises: ODEs, binomial and F-D methods fos PDEs.

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Exponentially fitted F-D schemes for plain vanilla & barrier options.

19 Abril 2016, 19:00 • Fernando Manuel Rodrigues Ferreira Gonçalves

Exponentially fitted F-D schemes for plain vanilla & barrier options,

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