Ensimag Rubrique Formation 2022

Advanced Monte Carlo methods - WMMFMA21

  • Number of hours

    • Lectures 18.0
    • Projects -
    • Tutorials -
    • Internship -
    • Laboratory works -
    • Written tests -


    ECTS 2.0


Stochastic approximation applied to finance




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.


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


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.