by David M. Newbery, Fabien A. Roques, William J. Nuttall
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Suggested foundations for monte carlo and numerical simulation. Specialist prerequisites vary by paper.
Understand convergence, sampling error and confidence intervals.
Generate reproducible samples and distinguish randomness from model assumptions.
Turn a discounted payoff into an estimator.
Study dependence and alternatives to independent sampling.
Start in discrete time, move to Brownian motion, then read the original pricing argument and simulate it.