Data61 CRP #45 - Developing advanced Monte-Carlo simulation methods and utilising the partial proxy approach to create stable and accurate first and second order derivatives of financial options

  • Zhu, Dan (Primary Chief Investigator (PCI))
  • Zhu, Zili (Chief Investigator (CI))
  • Langrene, Nicholas (Chief Investigator (CI))
  • Dong, Wenfeng (Chief Investigator (CI))
  • Knight, Katherine (Project Manager)

Project: Research

Project Details

StatusFinished
Effective start/end date1/01/20 → 31/12/22

Funding

  • CSIRO - Data61 (Victoria): A$117,605.00