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IE 536 Monte Carlo Methods in Finance 3 Credits
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.
Last Offered Terms Course Name SU Credit
Spring 2023-2024 Monte Carlo Methods in Finance 3
Prerequisite: __
Corequisite: __
ECTS Credit: 10 ECTS (10 ECTS for students admitted before 2013-14 Academic Year)
General Requirements: