ORIE 5582
Last Updated
- Schedule of Classes - December 12, 2024 7:40PM EST
- Course Catalog - December 12, 2024 7:07PM EST
Classes
ORIE 5582
Course Description
Course information provided by the Courses of Study 2024-2025.
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.
Seven Week - Second. Choose one lecture and one discussion.
-
Credits and Grading Basis
2 Credits Stdnt Opt(Letter or S/U grades)
-
Class Number & Section Details
-
Meeting Pattern
- TR
- Mar 12 - May 6, 2025
Instructors
Wu, D
-
Additional Information
Instruction Mode: In Person
Enrollment limited to: graduate students; others by permission of department.
Share
Or send this URL: