ORIE 5582

Last Updated

  • Schedule of Classes - June 2, 2019 7:14PM EDT
  • Course Catalog - June 2, 2019 7:15PM EDT

ORIE 5582
Monte Carlo Methods in Financial Engineering

Course information provided by the Courses of Study 2018-2019.

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

  • 14602 ORIE 5582   LEC 001

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  • 14603 ORIE 5582   DIS 201

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