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Monte Carlo Methods and Applications in Finance and Insurance Models, Switzerland, 10-14/08/09

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Expired Monte Carlo Methods and Applications in Finance and Insurance Models, Switzerland, 10-14/08/09

Post by Admin on Tue 17 Feb 2009, 18:35


Monte Carlo Methods and Applications in Finance and Insurance Models

Monday, August 10 to Friday, August 14, 2009
University of Lausanne, Switzerland

Brief outline:
Monte Carlo Methods are often the only way to deal with high-dimensional computational problems. Examples are the valuation of complex (interest rate) derivatives, the simulation of assets and asset-liability-management. But the simple Monte Carlo method is often extremely slow. In this course we present new efficient Monte Carlo methods (such as multi-level Monte Carlo) and classical variance reduction techniques as well as numerous applications and illustrations in finance and insurance. The lectures are complemented by computer exercises, for which no prerequisite knowledge is needed.

Course Contents:
* Foundations of Stochastic Simulation and Monte Carlo Techniques
* Variance Reduction Techniques
* Quasi-Monte Carlo Methods
* Simulation of Stochastic Processes
* Applications in Finance and Insurance (e.g. Option Pricing, Interest Rate and Mortality Simulation)

Participants:
Practicing actuaries as well as researchers with a good general knowledge of probability and statistics.

CPD Credits:
Full Members of the Swiss Association of Actuaries will earn 20 CPD credits for attendance to this SAA International Summer School.

For more information, visit the website: http://www.saa-iss.ch/index.html

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