Courses of Study 2018-2019 
    Feb 03, 2023  
Courses of Study 2018-2019 [ARCHIVED CATALOG]

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ORIE 5582 - Monte Carlo Methods in Financial Engineering

Spring (weeks 8-14). 2 credits. Student option grading.


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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