ORIE 5582

ORIE 5582

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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Enrollment Information
Syllabi: none
  •   Seven Week - Second.  Choose one lecture and one discussion.

  • 2 Credits Stdnt Opt

  • 14418ORIE 5582  LEC 001

  • 14419ORIE 5582  DIS 201