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Monte Carlo methods in finance

Monte Carlo methods in finance. Discretization of stochastic differential equations. The Euler scheme and a First Refinement. The Euler approximation. The Euler approximation. The Euler approximation. A First Refinement. A First Refinement. A First Refinement. A First Refinement.

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Monte Carlo methods in finance

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  1. Monte Carlo methods in finance Discretization of stochastic differential equations Melanie Bevier TU Kaiserslautern

  2. The Euler scheme and a First Refinement

  3. The Euler approximation

  4. The Euler approximation

  5. The Euler approximation

  6. A First Refinement

  7. A First Refinement

  8. A First Refinement

  9. A First Refinement

  10. A First Refinement

  11. A First Refinement

  12. A First Refinement

  13. A First Refinement

  14. Milstein‘s Refinement

  15. Milstein‘s Refinement

  16. The Multidimensional Case

  17. The Multidimensional Case

  18. Convergence Order

  19. Strong error criteria

  20. Weak error criterion

  21. Applications

  22. Compare methods

  23. Strong Order of Convergence

  24. Weak Order of Convergence

  25. Strong and Weak Order of Convergence

  26. Convergence Order of the Euler Scheme

  27. Convergence Order of the Euler Scheme

  28. Convergence Order of the Euler Scheme

  29. Convergence Order of the Euler Scheme

  30. Convergence Order of the Refined Scheme

  31. Second-Order Methods

  32. The Scalar Case

  33. The Scalar Case

  34. The Scalar Case

  35. The Scalar Case

  36. The Scalar Case

  37. The Scalar Case

  38. The Scalar Case

  39. The Scalar Case

  40. The Discretization Scheme

  41. The Discretization Scheme

  42. The Discretization Scheme

  43. The Discretization Scheme

  44. The Discretization Scheme

  45. The Discretization Scheme

  46. The Vector Case

  47. The Vector Case

  48. Commutativity Condition

  49. Commutativity Condition

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