Course Catalog
| IE 436 Monte Carlo Methods in Finance | 3 Credits | ||||||
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| The course aims to introduce the Monte Carlo methods and techniques used in mathematical finance. In this field, many problems involve computing expectations. Pricing various derivatives, computing default/ruin probabilities, finding optimal/well-performing portfolios are some well-known examples of such problems. In the course, after discussing the basics of probability and simulation, we learn how Monte Carlo methods apply to these problems. | |||||||
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| Prerequisite: MATH 306 - Undergraduate - Min Grade D | |||||||
| Corequisite: __ | |||||||
| ECTS Credit: 6 ECTS (6 ECTS for students admitted before 2013-14 Academic Year) | |||||||
| General Requirements: | |||||||