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Markov Chain Monte Carlo methods 30-Mar-2001 03:30 PM PST - 30-Mar-2001 04:30 PM PST
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Numerical solution of stochastic differential equations with applications in finance
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Applications of the Monte Carlo method in finance
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Extreme value statistics in finance
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Solving American option and portfolio choice problems using the Least Squares Monte Carlo (LSM) Algorithm
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Arbitrage pricing of equity basket options
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Simulated likelihood estimation of diffusions with an application to exchange rate dynamics in incomplete markets
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Risk premium and pricing of derivatives in complete markets
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Wavelet-based PDE and fast Monte Carlo valuation of complex derivatives
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Early stopping in financial simulations
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