Submissions made for IIT Guwahati Winter Semester (2020) MA 323 course - Monte Carlo Simulation
This repository contains all my submissions to assignments completed during study of the course MA 323: Monte Carlo Simulation, taken in Autumn 2020 at IIT Guwahati.
All the details can be find in the respective folders. Following is a brief summary of the assignments:
This lab covered about general linear congruence generator, and Spectral Test for the random numbers.
This lab was based on using special kind of random number generators, and introduction to the Sampling Method with Inverse Transform Method.
This lab continued with the concepts of Sampling Method by using Acceptance Rejection Method, and using these methods to both discrete and continuous distributions.
This lab focused on a special kind of distribution, Beta Distribution, and how to use Acceptance Rejection Method on such distributions.
This lab was aimed at computational comparsion of 2 different methods to generate normal random numbers - Box-Muller method, and Marsaglia and Bray Method.
This lab continued with the generation of normal random numbers, but this time the distribution was multivariate normal distribution.
The aim of this lab was to find out the expected value of the stock prices using Geometric Brownian Motion (gBm) model.
It was the continuation of lab 7, but this time the model used was Merton's Jump Diffusion model.
This lab discussed about the idea of using Control Variates to determine the option prices based on BSM framework, to achieve variance reduction.
This lab was continuation of previous lab, but dealt with the concept of Anithetic Variates for variance reduction.
This lab was aimed at finding the Discrepancy of the random numbers generated using general LCG.
The last lab focused on generating low discrepancy sequences for one dimension (Van der Corput sequences), and d-dimension (Halton Sequences). Further their sample distribution was compared with that of LCG used in previous labs.
This project is licensed under the MIT License.