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TableofContents.pdf
- Part 1: Methods
- Static Monte Carlo
- Dynamic Monte Carlo
- Dynamic Programming for Stochastic Optimization
- Finite Differences
- Linear Systems and PDEs
- Quadrature Methods
- The Laplace Transform
- Dependence and Copulas
- Part 2: Cases
Portfolio Management
Vanilla Options
Exotic Derivatives
- An Average Problem
- Quasi Monte Carlo
- Discrete Lookbacks
- Electrifying the Price of Power
- A Sparkling Option
- Swinging on a Tree
Interest and Credit
Financial Econometrics