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2 Monte Carlo Simulation
2.1 Random number generation
2.2 Monte Carlo method
2.3 Quasi Monte Carlo simulation
2.4 Pricing American options with Monte Carlo
3 Discretization of stochastic partial differential equations
3.1 Generating sample paths
3.2 The Euler method
3.3 Advanced method
4 Stochastic differential equations
4.1 The finite difference method
4.2 Fourier method
Appendix
1. Existence and Uniqueness
2. The Freyman Karc formula
3. The first variation
4. Hormander’s theorem
Lecture_Notes_Bayer.pdf
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