MC & QMC methods in Finance

In this work — currently only in Italian — Monte Carlo and Quasi-Monte Carlo methods are used in order to find the fair value of derivative instruments, whose dynamic is given by the financial model of Black-Scholes-Merton.

In particular, the first part presents a Monte Carlo alternative to the finite difference method in order to solve the Black-Scholes PDE. In the second part, a comparison is made between Monte Carlo and Quasi-Monte Carlo when dealing with the Asian options pricing problem. Both codes, in C, are present in the appendix.