ORIE 5582

Last Updated

  • Schedule of Classes - October 15, 2026 7:07PM EDT

ORIE 5582
Monte Carlo Methods in Financial Engineering

Course information provided by the 2026-2027 Catalog.

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.


Last 4 Terms Offered 2026SP, 2025SP, 2024SP, 2023SP

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Syllabi: none

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

  • 2 Credits Stdnt Opt

  • 15491 ORIE 5582   LEC 001

  •  
    • MW
    • Mar 17 - May 11, 2027

    • Grigorian, K

  • Instruction Mode: In Person

    Enrollment limited to: graduate students.

  • 15492 ORIE 5582   DIS 201

  •  
    • F
    • Mar 17 - May 11, 2027

    • Grigorian, K

  • Instruction Mode: In Person