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- Monte Carlo Simulation and Conditional Monte Carlo
Science
Mathematics and Statistics
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- Home
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Student life & resources
Postgraduate research
- Info for new students
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- Michael Tallis PhD Research Travel Award
- Information about research theses
- Past research students
- Resources
- Entry requirements
- PhD projects
- Obtaining funding
- Application & fee information
Student services
- Help for postgraduate students
- Thesis guidelines
- School assessment policies
- Computing information
- Mathematics Drop-in Centre
- Consultation
- Statistics Consultation Service
- Academic advice
- Enrolment variation
- Changing tutorials
- Illness or misadventure
- Application form for existing casual tutors
- ARC grants Head of School sign off
- Computing facilities
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Abstract:
Monte Carlo simulation can be viewed as a vehicle for performing computer experiments with randomness in problems that are too complex or too difficult to allow for theoretical calculations. We give here a survey with particular emphasis on applications to finance and insurance, concluding with a more detailed study of the conditional Monte Carlo method. Essentially this is a set of ideas of how to improve on Monte Carlo by involving features that can be calculated.
Speaker
Prof Søren Asmussen
Research Area
Statistics Seminar
Affiliation
Aarhus University
Date
Fri, 03/11/2017 - 4:05pm
Venue
RC-4082, The Red Centre, UNSW