Monte Carlo Methods for Quantitative Finance

3 credits · Graduate Programs

Topics include specific areas of mathematical finance and build on Mathematics 681 and 683. Random number generation, simulation of stochastic differential equations, option valuation, variance reduction techniques, quasi-Monte Carlo methods, computing 'greeks', valuation of path-dependent and early-exercise options; applications to risk management; Markov Chain Monte Carlo methods. Prerequisite(s): Mathematics 681 and 683 and admission to a graduate program in Mathematics and Statistics or consent of the Department.