数学系系列讲座:2017/18-S1 No.14

活动

主题

Monte Carlo and Quasi-Monte Carlo Methods with Applications in Finance and Insurance

演讲人

Yongzeng Lai
Department of Mathematics, Wilfrid Laurier University

摘要

The Monte Carlo simulation method is indispensable to deal with high dimensional problems so far. It is widely used in many _elds. The main drawback of this method is the issue of slow convergence. To accelerate the convergence, variance reduction methods, e_ective dimension method, quasi-Monte Carlo methods, etc., and their combinations were developed. In this talk, we will introduce various speeding up methods of the Monte Carlo and quasi-Monte Carlo methods with applications to _nancial engineering and insurance. If time permits, I will also introduce applications of the Monte Carlo and quasi-Monte Carlo methods to other areas.