ORIE 5582

Last Updated

  • Schedule of Classes - June 25, 2020 7:14PM EDT
  • Course Catalog - June 25, 2020 7:15PM EDT

ORIE 5582
Monte Carlo Methods in Financial Engineering

Course information provided by the Courses of Study 2019-2020.

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

  • 14666 ORIE 5582   LEC 001

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    • TR Thurston Hall 205
    • Mar 11 - May 5, 2020

    • Samorodnitsky, G

  • Instruction Mode: Hybrid - Online & In Person

  • 14667 ORIE 5582   DIS 201

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  • Instruction Mode: Hybrid - Online & In Person