Particle methods with applications in finance
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Mon, 29/04 14:15 |
PENG HU (University of Oxford) |
Stochastic Analysis Seminar  |
Oxford-Man Institute |
| Abstract: The aim of this lecture is to give a general introduction to the theory of interacting particle methods and an overview of its applications to numerical finance. We survey the main techniques and results on interacting particle systems and explain how they can be applied to deal with a variety of financial numerical problems such as: pricing complex path dependent European options, computing sensitivities, American option pricing or solving numerically partially observed control problems. | |||