ORIE 5582

Last Updated

  • Schedule of Classes - May 19, 2024 7:32PM EDT
  • Course Catalog - May 19, 2024 7:07PM EDT

ORIE 5582
Monte Carlo Methods in Financial Engineering

Course information provided by the Courses of Study 2023-2024.

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:

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

  • 2 Credits Stdnt Opt

  • 11841 ORIE 5582   LEC 001

  •  

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

  • 11842 ORIE 5582   DIS 201

  •  

  • Instruction Mode: In Person
    Enrollment restricted to ORIE MEng students. Other graduate students, Early Admit MEng students and OR&E Honors Program students may enroll with department approval during Add/Drop.