Plan of talks

Wednesdays 14:15 - 16:00, room 5820

 

Plan of talks:

Introduction to Monte Carlo (Andrzej Palczewski, Jan Palczewski) [slides]

Variance reduction methods (Tomasz Tkaliński)

Primer in Importance Sampling for VaR (Damian Murawiński)

Importance Sampling for quantile estimation by Glynn (Monika Chapska)

General framework for importance sampling (Anna WÅ‚odarczyk)

The Logstaff-Schwartz algorithm for American option (Paweł Siedlecki)

A dual way to price American options (Adam Radziwończyk-Syta)

Upper bounds for American options via Monte Carlo (Mariusz Baryło)