Monte Carlo Variance Reduction using Antithetic Variates (FRM Part 1, Quantitative Analysis)
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- Опубликовано: 7 ноя 2021
- In this video from FRM Part 1 curriculum, we take a look a the antithetic variates technique to reduce the standard error of our Monte Carlo based estimator. This technique simulates the chosen variable as a pair of values - with the members of the pair having a negative dependence amongst themselves. This negative dependence reduces the variance of the estimator and hence, the standard error. For more videos on FRM Part 1 preparation, please visit the course page: www.finRGB.com/courses/frm-pa....
FRM Learning Objective: Explain the use of antithetic and control variates in reducing Monte Carlo sampling error.
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Amazing explanation! thank you so much, it was really helpful
Glad that the video was helpful, Jaqueline.
Amazing explanation! Thank you.
Wow! Nice explanation! Thank you!
Thank you! You explained that so clearly.
Glad that you found the video useful, Megan.
Thank you sooo much!! This is very clear
Glad you found the video helpful.
You da man!
You wanted to say squared instead of quadroupled right?
No quadrupled because sqrt(n*4) = 2* sqrt(n) basically doubling your denominator