financialkit.monte_carlo
========================


.. include:: /_generated/nav/monte_carlo.rst

Crude Monte Carlo with standard errors and confidence intervals,
Box-Muller normal variates and option prices by simulation through
:mod:`financialkit.integrators`; variance reduction by stratification
(Neyman allocation), importance sampling, antithetic variates, Latin
hypercube sampling, regression control variates and moment matching;
quasi-Monte Carlo with van der Corput, Halton and Sobol points
(:mod:`scipy.stats.qmc`), exact and :math:`L^2` star discrepancies, the
Koksma-Hlawka bound, Owen-scrambled randomized QMC and Brownian-bridge
path construction; likelihood-ratio and pathwise Greeks; and Giles's
adaptive multilevel Monte Carlo.

.. automodule:: financialkit.monte_carlo
   :members:
   :undoc-members: