Courses of Study 2014-2015 
    
    Mar 28, 2024  
Courses of Study 2014-2015 [ARCHIVED CATALOG]

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ORIE 5582 - Monte Carlo Methods in Financial Engineering


     
Spring. (Weeks 8-14) 2 credits.

Staff.

An overview of Monte Carlo methods as they apply in financial engineering. Generating sample paths. Variance reduction (including quasi random number), discretization, and sensitivities. Applications to derivative pricing and risk management.



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