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IE 436 Monte Carlo Methods in Finance
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.
SU Credits : 3.000
ECTS Credit : 6.000
Prerequisite : -
Corequisite : -