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A Review of Multilevel Monte Carlo Methods
The Monte Carlo method (MC) is a common numerical technique used to approximate an expectation that does not have an analytical solution. For certain problems, MC can be inefficient. Many techniques exist to improve the efficiency of MC methods. The Multilevel Monte Carlo (ML) technique developed Gi...
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| Format: | Thesis |
| Language: | English |
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African Institute of Financial Markets and Risk Management
2021
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