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This article reports on the contents of a tutorial session at MCQMC 2008. The tutorial explored various places in statistics where Monte Carlo methods can be used. There was a special emphasis on areas where Quasi-Monte Carlo ideas have been or could be applied, as well as areas that look like they need more research.
This advanced tutorial aims at an exposition of problems in finance that are worthy of study by the Monte Carlo research community. It describes problems in valuing and hedging securities, risk management, portfolio optimization, and model calibration. It surveys some areas of active research in efficient procedures for simulation in finance and addresses the impact of the business context on the...
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