Titlebook: Advanced Simulation-Based Methods for Optimal Stopping and Control; With Applications in Denis Belomestny,John Schoenmakers Book 2018 The E

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https://doi.org/10.1057/978-1-137-03351-2algorithms; applied mathematics; business; business finance; corporate finance; finance; mathematics; model

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The Editor(s) (if applicable) and The Author(s) 2018

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Hassan Pyar,K. K. Peh,L. Min-TzeIn this chapter we give a concise overview of basic concepts in Monte Carlo methods and Monte Carlo related topics. For further reading we refer to [59] for example.

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Zulkefli Daud,Norafizah Daud,Zainab AriVariance reduction technique plays a crucial role in Monte Carlo methods, as they can significantly reduce the uncertainty inherited in Monte Carlo. While in the previous chapter we already have seen some basic variance reduction methods, here we present more advanced approaches.

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Lesley Casas Lubos,Lalevie Casas LubosThe multilevel path simulation method (MLMC) introduced in Giles [52] has gained huge popularity as a complexity reduction tool in recent times.

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Lesley Casas Lubos,Lalevie Casas LubosIn this chapter we recapitulate the general formulation of the discrete time optimal stopping and optimal control problem.

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