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world:cours:montecarlo [2023/05/15 08:05] rdouc [Introduction] |
world:cours:montecarlo [2023/06/24 04:47] (current) rdouc |
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====== Monte Carlo and Advanced simulation methods ====== | ====== Monte Carlo and Advanced simulation methods ====== | ||
+ | <color /yellow>Contact:</color> | ||
+ | <nowiki> | ||
+ | [email protected] | ||
+ | </nowiki> | ||
===== Introduction ===== | ===== Introduction ===== | ||
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This 24H course will be given at VNUHCM in june 2023. It will be based on the following lecture notes (it will be updated regularly): | This 24H course will be given at VNUHCM in june 2023. It will be based on the following lecture notes (it will be updated regularly): | ||
* {{ :world:polymcenglish.pdf | Current version of the Lecture Notes}} | * {{ :world:polymcenglish.pdf | Current version of the Lecture Notes}} | ||
+ | |||
+ | ===== Computer sessions and written notes ===== | ||
+ | |||
+ | * [[https://colab.research.google.com/drive/1hOHIcrIuH339IkO8TGneQRGpnJCwWA-r?usp=sharing| Computer sessions]] | ||
+ | * {{ :world:cours:jvn5.pdf | Day1-2-3-4-5}} | ||
+ | |||
+ | |||
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| 1 | Monday, 19 june | Lecture | Tutorial | Computer Session | | | 1 | Monday, 19 june | Lecture | Tutorial | Computer Session | | ||
| 2 | Tuesday, 20 june | Lecture | Tutorial | Computer Session | | | 2 | Tuesday, 20 june | Lecture | Tutorial | Computer Session | | ||
- | | 3 | Wednesday, 21 june | Lecture | Tutorial | | | + | | 3 | Wednesday, 21 june | Lecture | Tutorial | Computer session | |
| 4 | Thursday, 22 june | Lecture | Tutorial | Computer Session | | | 4 | Thursday, 22 june | Lecture | Tutorial | Computer Session | | ||
- | | 5 | Friday, 23 june | Lecture | Tutorial | Computer Session | | + | | 5 | Friday, 23 june | Lecture | Tutorial | | |
| 6 | Satursday, 24 june | Lecture | Tutorial | | | | 6 | Satursday, 24 june | Lecture | Tutorial | | | ||
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* Tutorial 1H30: Exercise. | * Tutorial 1H30: Exercise. | ||
+ | ===== Bibliography with some related papers ===== | ||
+ | * [[https://ojs.wiserpub.com/index.php/CCDS/article/view/2110/1224| antithetic monte carlo and option pricing]]. | ||
+ | * [[https://arxiv.org/abs/2103.16689| control variates]]. A Michael Jordan's paper. | ||
+ | * [[https://proceedings.neurips.cc/paper_files/paper/2022/file/b1e7f61f40d68b2177857bfcb195a507-Paper-Conference.pdf| Yann LeCun et al. 2022]]: Stochastic Gradient Hamiltonian Monte Carlo. | ||