ORIE 5582

Last Updated

  • Schedule of Classes - June 18, 2018 7:14PM EDT
  • Course Catalog - June 14, 2018 7:15PM EDT

ORIE 5582
Monte Carlo Methods in Financial Engineering

Course information provided by the Courses of Study 2017-2018.

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.

When Offered Spring (weeks 8-14).

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Syllabi: none

  •   Seven Week - Second.  Choose one lecture and one discussion.

  • 2 Credits Stdnt Opt

  • 14418 ORIE 5582   LEC 001

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  • 14419 ORIE 5582   DIS 201

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