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world:cours:montecarlo
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world:cours:montecarlo [2023/06/20 05:21] rdouc |
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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] |
| </nowiki> | </nowiki> | ||
| ===== Introduction ===== | ===== Introduction ===== | ||
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| * [[https://colab.research.google.com/drive/1hOHIcrIuH339IkO8TGneQRGpnJCwWA-r?usp=sharing| Computer sessions]] | * [[https://colab.research.google.com/drive/1hOHIcrIuH339IkO8TGneQRGpnJCwWA-r?usp=sharing| Computer sessions]] | ||
| - | * {{ :world:cours:jvn1.pdf | Day1}} | + | * {{ :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.1687231273.txt.gz · Last modified: 2023/06/20 05:21 by rdouc
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