Course Catalog
IE 536 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: __ | ||||||||||
Corequisite: __ | ||||||||||
ECTS Credit: 10 ECTS (10 ECTS for students admitted before 2013-14 Academic Year) | ||||||||||
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