MONTE CARLO SIMULATION METHODS

3.00 points · University catalogue

Lect: 3. This graduate course is only for M.S. Program in Financial Engineering students. Multivariate random number generation, bootstrapping, Monte Carlo simulation, efficiency improvement techniques. Simulation output analysis, Markov-chain Monte Carlo. Applications to financial engineering. Introduction to financial engineering simulation software and exposure to modeling with real financial data. Note: Students who have taken IEOR E4404 Simulation may not register for this course for credit