ORIE 5582

Last Updated

  • Schedule of Classes - October 16, 2017 11:09AM EDT
  • Course Catalog - June 14, 2017 7:15PM EDT

ORIE 5582
Monte Carlo Methods in Financial Engineering

Course information provided by the 2016-2017 Catalog.

An overview of Monte Carlo methods as they apply in financial engineering. Generating sample paths. Variance reduction (including quasi random number), discretization, and sensitivities. Applications to derivative pricing and risk management.


When Offered Spring (weeks 8-14).

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Syllabi: none

  •   Seven Week - Second.  Choose one lecture and one discussion.

  • 2 Credits Stdnt Opt

  • 15413 ORIE 5582   LEC 001

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    • TR Kimball Hall B11
    • Mar 20 - May 10, 2017

    • Zhao, Y

  • Instruction Mode: In Person

  • 15414 ORIE 5582   DIS 201

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  • Instruction Mode: In Person