world:cours:montecarlo
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world:cours:montecarlo [2023/06/19 04:28] rdouc [Table] |
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| ====== Monte Carlo and Advanced simulation methods ====== | ====== Monte Carlo and Advanced simulation methods ====== | ||
| - | Contact: | + | <color /yellow>Contact:</color> |
| <nowiki> | <nowiki> | ||
| [email protected] | [email protected] | ||
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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}} | ||
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| + | ===== 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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| * 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. | ||
world/cours/montecarlo.1687141714.txt.gz · Last modified: 2023/06/19 04:28 by rdouc
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