ORIE 5582

ORIE 5582

Course information provided by the Courses of Study 2021-2022.

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.

View Enrollment Information

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

  • 2 Credits Stdnt Opt

  • 12845 ORIE 5582   LEC 001

    • TR Upson Hall 206
    • Mar 16 - May 10, 2022
    • Banerjee, S

  • Instruction Mode: In Person
    Enrollment restricted to graduate students. Early Admit MEng students and OR&E Honors Program students may enroll with department approval.

  • 12846 ORIE 5582   DIS 201

  • Instruction Mode: In Person
    Enrollment restricted to graduate students. Early Admit MEng students and OR&E Honors Program students may enroll with department approval.