Lecture

Stochastic Simulation: Variance Reduction Techniques

Description

This lecture covers variance reduction techniques in stochastic simulation, focusing on the general idea and the use of auxiliary random variables to improve the efficiency of Monte Carlo simulations. The instructor explains how to generate replicas of a stochastic model and compute sample averages, emphasizing the goal of reducing variance. Various methods, such as Crude Monte Carlo, are discussed to achieve this goal, along with the concept of negatively correlated variables. The lecture concludes with the application of these techniques in estimating option prices and modeling asset prices using stochastic processes.

About this result
This page is automatically generated and may contain information that is not correct, complete, up-to-date, or relevant to your search query. The same applies to every other page on this website. Please make sure to verify the information with EPFL's official sources.

Graph Chatbot

Chat with Graph Search

Ask any question about EPFL courses, lectures, exercises, research, news, etc. or try the example questions below.

DISCLAIMER: The Graph Chatbot is not programmed to provide explicit or categorical answers to your questions. Rather, it transforms your questions into API requests that are distributed across the various IT services officially administered by EPFL. Its purpose is solely to collect and recommend relevant references to content that you can explore to help you answer your questions.