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Informatique et Mathématiques appliquées
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> Formation > Cursus ingénieur

Advanced Monte Carlo methods - WMMFMA21

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  • Number of hours

    • Lectures : 18.0
    • Tutorials : -
    • Laboratory works : -
    • Projects : -
    • Internship : -
    • Written tests : -
    ECTS : 2.0
  • Officials : -

Goals

Stochastic approximation applied to finance

Content

This course starts with the study of some theoretical results for the convergence of martingales (strong law of large numbers for martingales). Then, these results are used to present the concepts of stochastic approximation and some related convergence results. Finally, this course ends with the presentation of adaptive Monte Carlo methods based on stochastic approximation.

Tests

N1=(E1 + P1) / 2
N2=(E2 + P1) / 2

Calendar

The course exists in the following branches:

    see the course schedule for 2020-2021

    Additional Information

    Course ID : WMMFMA21
    Course language(s): FR

    The course is attached to the following structures:

    You can find this course among all other courses.

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    Date of update January 15, 2017

    Université Grenoble Alpes