Basic ideas of the Monte Carlo method.  Pseudo-random numbers.

11 Maio 2015, 21:00 • Fernando Manuel Rodrigues Ferreira Gonçalves

Basic ideas of the Monte Carlo method: Introduction; General formulation.

Pseudo-random numbers: Random numbers; Method of congruences.

---

The Monte Carlo method applied to Finance.

4 Maio 2015, 21:00 • Fernando Manuel Rodrigues Ferreira Gonçalves

The Monte Carlo method applied to Finance: Introduction; The Monte Carlo method; Inversion of the cumulative probability distribution function; Applications.

---

Practical session.

30 Abril 2015, 20:00 • Fernando Manuel Rodrigues Ferreira Gonçalves

Practical session.

---

Practical session.

27 Abril 2015, 21:00 • Fernando Manuel Rodrigues Ferreira Gonçalves

Practical session.

---

Exponentially fitted F-D shemes.

23 Abril 2015, 20:00 • Fernando Manuel Rodrigues Ferreira Gonçalves

Exponentially fitted F-D shemes: Approximation of a simple linear ODE; Approximation of a BVP; Exponentially fitted schemes for plain vanilla & barrier options.

---