Number of hours
- Lectures 18.0
- Projects -
- Tutorials -
- Internship -
- Laboratory works -
- Written tests -
ECTS
ECTS 2.0
Goal(s)
Stochastic approximation applied to finance
Responsible(s)
-
Content(s)
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.
Test
N1=(E1 + P1) / 2
N2=(E2 + P1) / 2
Additional Information
Course ID : WMMFMA21
Course language(s):
The course is attached to the following structures:
- Team Finance.
- Team Probability-Statistics
You can find this course among all other courses.