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IE 436 Monte Carlo Methods in Finance Select Term:
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 : Undergraduate level MATH 306 Minimum Grade of D
Corequisite : -
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