Course Description
Monte Carlo (MC) methods for accurate option pricing, hedging and risk management. Modeling using stochastic asset models (e.g. geometric Brownian motion) and parameter estimation. Stochastic models, including use of random number generators, random paths and discretization methods (e.g. Euler-Maruyama method), and variance reduction. Implementation using Matlab. Incorporation of the latest developments regarding MC methods and their uses in Finance.
Spring 2025
Instructors
Meeting Patterns
Classes Start:
January 6, 2025
Classes End:
April 22, 2025
Location:
02229 SAS Hall
Class Days:
M W
Class Start Time:
8:30am
Class End Time:
9:45am
Class Type:
Lecture
Credits:
3.00
Restrictions:
None
