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25 November 2011
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Monte Carlo simulations
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probability
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random variables
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Brownian motion
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Asset pricing
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Black-Scholes models
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generating random variables
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variance reduction techniques
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importance sampling
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stochastic calculus
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simulation of diffusion
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sensitivity analysis
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monograph
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algorithm
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strong law of large number
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central limit theorem
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financial derivatives
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confidence intervals
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acceptance-rejection method
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Cholesky factorization
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control variate method
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antithetic sampling
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cross-entropy method
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stochastic integral
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Itô formula
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stochastic differential equations
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diffusion process
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Euler scheme
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Milstein schemes
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Lamperti transform
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portfolio
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stock option
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