IE 58D Efficient Monte Carlo Simulation

Kredi Bilgisi: 
3
Açıklama: 
Ability to understand code and use efficient Monte-Carlo simulation algorithms; special emphasis will be laid on the development of variance reduction techniques, on quasi Monte Carlo algorithms and on efficient random variate generation for practical relevant simulation problems. The examples in the course will be taken from queuing applications, disease spread models, risk quantification and option pricing.
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