ASET Colloquium

Monte Carlo Methods in Finance

by Prof. Sandeep Juneja (STCS, TIFR)

Friday, September 21, 2012 from to (Asia/Kolkata)
at Colaba Campus ( AG-66 )
Description
With Monte Carlo as the name, widespread application of these methods to finance was perhaps inevitable! In this talk we visit some of these applications. Monte Carlo method, as is well known, is a preferred method for evaluating high dimensional integrals. We first review popular complex financial derivatives, and argue how the fundamental no-arbitrage principle in mathematical finance allows prices of such financial securities to be expressed as large dimension integrals, which can then be evaluated via Monte Carlo. We then overview some algorithmic advances in Monte Carlo techniques for important applications in finance including portfolio risk measurement and pricing of American options. 
Organised by Dr. Satyanarayana Bheesette