Monte Carlo and Quasi-Monte Carlo Simulation

Is this chapter we will learn the basics of pricing derivatives using simulation methods. We will consider both Monte-Carlo and quasi-Monte Carlo but – of course – with a special emphasis on the latter. The aim of our exposition is not to provide a large toolbox for the quantitative analyst, but to help getting started with the topic. QMC-pricing is an active area of research by its own and the reader is encouraged to consult the specialized literature. We will, however, take a look at some popular examples that frequently serve as benchmarks for refined simulation techniques.

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