演講訊息 TALKS

摘要： Efficient calculation of high-dimensional integrals is of critical importance in various disciplines, such as engineering, statistics, and finance. Monte Carlo simulation is indispensable for calculating high-dimensional integrals because it can avoid the curse of dimensionality. However, Monte Carlo simulation is notoriously known for its slow convergence, and hence additional variance reduction techniques are required to achieve the desire defficiency. In this talk, I would like to review Monte Carlo simulation and its applications in finance. Specifically, I will focus on recent developments and challenges of Monte Carlo simulation for Value-at-Risk evaluation, option pricing, and Greeks calculation.